Stochastic Processes and Simulation 7.5 credits

About the course

Moment 1 (4.0 hp): Theory. Moment covers the basic theory of stochastic processes theory of stochastic simulation (Monte Carlo methods). The course covers the generation of random numbers from diﬀerent continuous and discrete distributions and integral estimation including error estimation. Further, theory and methods for simulating random walks, Brownian motion, Poisson processes and Markov chains are introduced together with their real life applications.

Moment 2 (3.5 hp): Computer labs. Application of the introduced computer intensive methods using suitable programming language. Additionally the simulation of queuing and production lines and inventory systems based on the discrete events approach is introduced.

Show syllabus

Apply

Questions about the course?

Subject

Describe your enquiry or ask a question

First name

Last name

Email address

Please be aware that the University is a public authority and that what you write here can be included in an official document. Therefore, be careful if you are writing about sensitive or personal matters in this contact form. If you have such an enquiry, please call us instead. All data will be treated in accordance with the General Data Protection Regulation.