Markov Processes

Education facts

Code: 1MS012

The Markov property. Chapman-Kolmogorov's relation, classification of Markov processes, transition probability. Transition intensity, forward and backward equations. Stationary and asymptotic distribution. Convergence of Markov chains. Birth-death processes. Absorption probabilities, absorption time. Brownian motion and diffusion. Geometric Brownian motion. Generalised Markov models. Applications of Markov chains.

Entry requirements

120 credits. Probability Theory I. Proficiency in English equivalent to the Swedish upper secondary course English 6.

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.

• Markov Processes

  Uppsala University

  Uppsala

  Start date: 18 January 2027

  End date: 21 March 2027

  Pace of study: 67 %