Stochastic Processes

Education facts

Code: MSF200

The course gives an advanced treatment of the theory of stochastic processes based on probability theory and mathematical analysis.Hence there is a certain focus on proofs and rigour, instead of reasoning and learning by means of applications and examples. As well as being suitable for students with a more theoretical interest, the course is suitable for gaining deepened knowledge of stochastic processes for applied students with a background from one of the courses MSG800 Basic Stochastic Processes, MSG860 Basic Stochastic Processes F. What is a stochastic process? Distribution theory. Time series with random walks. Brownian motion and diffusions. Elements of Levy processes. Gaussian processes. Stationarity and weak stationarity. Continuous time Markov chains. Elements of Queues. Self-similar processes. Elements of filtering and forecasting. Elements of simulation and numerical methods.

Entry requirements

An undergraduate course in mathematical statistics or a strong mathematical background.

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

  University of Gothenburg

  GÖTEBORG

  Start date: 23 March 2026

  End date: 7 June 2026

  Pace of study: 50 %