MTL725: Stochastic Processes and its Applications

3 Credits (3-0-0)

Stochastic processes, specification of stochastic processes, stationary processes, discrete time and continuous time Markov chains, birth and death processes, applications in queueing theory. Markov processes with continuous state space, martingales, applications in financial mathematics. Renewal processes and theory, Markov renewal and semi-Markov processes, branching processes.