Stochastic Processes

Code:

2MADSAD12

Acronym:

PE

Keywords
Classification	Keyword
OFICIAL	Management Studies

Instance: 2015/2016 - 2S

Active?	Yes
Responsible unit:	Agrupamento Científico de Matemática e Sistemas de Informação
Course/CS Responsible:	Master in Modeling, Data Analysis and Decision Support Systems

Cycles of Study/Courses

Acronym	No. of Students	Study Plan	Curricular Years	Credits UCN	Credits ECTS	Contact hours	Total Time
MADSAD	0	Bologna Official Syllabus	1	-	7,5	56	202,5

Teaching language

Suitable for English-speaking students

Objectives

Provide an introduction to stochastic processes according to the profile and interests of the enrolled students.

Learning outcomes and competences

To be able to apply the studied techniques to problems in Economics and Management.

Working method

Presencial

Pre-requirements (prior knowledge) and co-requirements (common knowledge)

Basic Probability

Program

1. Introduction to Stochastic Processes


2. Poisson processes


3. Renewal processes


4. Markov Chains


5. Markov Processes (continuous time)


6. Martingales


7. Random walk


8. Brownian motion and other Markov processes


9. Numeric and computational simulation of stochastic processes

Mandatory literature

Ross, Sheldon M.; Stochastic processes. ISBN: 0-471-09942-2
Masaaki Kijima; Stochastic Processes with Applications to Finance, Chapman & Hall, 2003. ISBN: 1-58488-224-7

Teaching methods and learning activities

Expositive method with a large number of examples to stress the applicability of the problems studied.

Software

Linguagem R

Evaluation Type

Distributed evaluation without final exam

Assessment Components

Designation	Weight (%)
Participação presencial	20,00
Trabalho escrito	80,00
Total:	100,00

Calculation formula of final grade

20 % presencial participation
40 % practical work 1
40 % practical work 2