Stochastic Processes and Simulation

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.