Stochastic Processes and Simulation

Education facts

Code: 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.

Entry requirements

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

Education offerings

Each offering has its own dates and conditions. Closed offerings are retained as history and do not mean that a new application is open.

• Stochastic Processes and Simulation

  Umeå University

  Start date: 2 November 2026

  End date: 17 January 2027

  Pace of study: 50 %