111年第1學期-1591 隨機過程 課程資訊
評分方式
評分項目 | 配分比例 | 說明 |
---|---|---|
Assignments | 30 | 2-3 assignments |
Mid-term Exam | 30 | |
Project Report | 40 |
選課分析
本課程名額為 40人,已有27 人選讀,尚餘名額13人。
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教育目標
The objective of this course is to introduce basic concepts for stochastic processes. The main focus will be on studying analytical models for systems which change states stochastically with time. The topics include:
1. 隨機過程介紹
1A. 隨機過程與程式語言:Python程式語言運用於隨機過程
2. Markov Chains
2A. Applications of Markov Chains
3. Poisson processes
3A. Applications of Poisson processes
4. Continuous-Time Markov Chains
4A. Applications of Continuous-Time Markov Chains
5. Brownian Motion & Stochastic Integral
6. Linear State Space Model
課程概述
The objective of this course is to introduce basic concepts for stochastic processes. The main focus will be on studying analytical models for systems which change states stochastically with time. This is a course for studying probabilistic models rather than statistical models. Thus, background on probability and mathematical statistics are necessary. We will begin right after �onditional probability�and �onditional expectation� Students will learn concepts and techniques for characterizing models stochastically. This will help students for further study. The topics of this course include basic processes, stochastic models, and diffusion processes. Contents of this course might be adjusted according to time limitation and students�interests. They are:
1.Preliminaries: lack of memory property, transformations, inequalities, limit theorems, notations of stochastic processes
2.Markov chains: Chapman-Kolmogorov equation, classification of chains, long run behavior of Markov chains, branch processes, random walk
3.Poisson processes: Inter-arrival time distributions, conditional waiting time distributions, non-homogeneous Poisson processes
4.Continuous-time Markov chains: birth-death processes, compound Poisson processes, finite-state Markov chains
5.Renewal processes: renewal functions, limit theorems, delayed and stationary renewal processes, queueing
6.Stochastic models: Markov renewal processes, marked processes
7.Martingales: conditional expectations, filtrations, stopping time, martingale CLT
8.Diffusion Processes: Brownian motions, It�s formula, Black-Scholes Model, Girsanov Theorem
課程資訊
基本資料
選修課,學分數:3-0
上課時間:二/4[M108] 三/3,4[M135]
修課班級:統計系2-4
修課年級:年級以上
選課備註:需搭配「隨機過程實作」課程(時間為二/3)一同修習。工業統計群組(107-111適用)。深碗型課程,曾修習機率論
教師與教學助理
授課教師:王榮琮
大班TA或教學助理:尚無資料
Office Hour時間:一/6, 二/5,6, 三/5
地點:M443
授課大綱
授課大綱:開啟授課大綱(授課計畫表)
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參考書目
1. Sheldon M. Ross (2019) Introduction to Probability Models, 12th ed, Academic Press
2. T. Nakagawa (2011) Stochastic Processes with Applications to Reliability Theory, Springer-Verlag
3. R. M. Feldman, C. Valdez-Flores (1996) Applied Probability & Stochastic Processes, PWS Publishing Co.
開課紀錄
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