Stochastic Processes and Simulation

Utbildningsfakta

Kod: 5MS049

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.

Behörighet

The course requires 15 ECTS mathematics, 6 ECTS mathematical statistics and 7.5 ECTS computer programming, or equivalent.

Utbildningstillfällen

Varje tillfälle har egna datum och villkor. Avslutade tillfällen behålls som historik och innebär inte att en ny ansökan är öppen.

• Stochastic Processes and Simulation

  Umeå University

  Startdatum: 2 november 2026

  Slutdatum: 17 januari 2027

  Studietakt: 50 %