M5444 Stochastic models I

Faculty of Science
Autumn 2006
Extent and Intensity
2/1/0. 3 credit(s) (fasci plus compl plus > 4). Type of Completion: zk (examination).
Teacher(s)
RNDr. Marie Budíková, Dr. (lecturer)
Guaranteed by
RNDr. Marie Budíková, Dr.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: RNDr. Marie Budíková, Dr.
Timetable
Mon 10:00–11:50 N21
  • Timetable of Seminar Groups:
M5444/01: Mon 12:00–12:50 M3,04005 - dříve Janáčkovo nám. 2a, Mon 12:00–12:50 N21, M. Budíková
M5444/02: Mon 9:00–9:50 M3,04005 - dříve Janáčkovo nám. 2a, Mon 9:00–9:50 N41, M. Budíková
Prerequisites
M3121 Probability and Statistics I || M4122 Statistics
M3121 and M4122
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
This subject deals with a special case of stochastic processes - processes with Markov property which time parameter has only values from the set of natural numbers. Attention is paid to both theoretical basics and practical applications.
Syllabus
  • Integer random variables: characteristic functions, convolution, compound distributions, branching process. Markov chains: the transition probabilities, classification of states, irreducible and reducible chains, stationary distribution, transient states. Controlled Markov chains: Markov chains with estimation of transitions, Markov chains with disconted estimation of transitions, controlled chains, Howard's iterative process.
Literature
  • KOŘENÁŘ, Václav. Stochastické procesy. Vyd. 1. Praha: Vysoká škola ekonomická v Praze, 2002, 227 s. ISBN 8024503115. info
  • PRÁŠKOVÁ, Zuzana and Petr LACHOUT. Základy náhodných procesů. 1. vyd. Praha: Karolinum, 1998, 146 s. ISBN 8071846880. info
  • MANDL, Petr. Pravděpodobnostní dynamické modely. 1. vyd. Praha: Academia, 1985, 181 s. info
Assessment methods (in Czech)
Výuka se koná každý týden v rozsahu 2h přednáška, 1h cvičení. Zkouška je písemná.
Language of instruction
Czech
Follow-Up Courses
Further Comments
Study Materials
The course is taught annually.
The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2010 - only for the accreditation, Autumn 2002, Autumn 2003, Autumn 2004, Autumn 2005, Autumn 2007, Autumn 2008, Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2011 - acreditation, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.
  • Enrolment Statistics (Autumn 2006, recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2006/M5444