|Title: ||Stochastic Calculus|
|Lesson Code: ||321-3751|
|Theory Hours: ||3|
|Lab Hours: ||2|
|Faculty: ||Leros Asimakis|
Review of basic random variables.Definition of stochastic processes. The Bernoulli, Poisson and birth-and-death processes. Simulation of discrete and continuous random variables. Markov chains, Chapman-Kolmogorov equations, classification of states, limiting probabilities. Mean time spent in transient states.
Upon completion of the course, the student will be able to:
- understand random arrivals
- perform probability calcucations in Bernoulli and Poisson processes
- understand modelling of discrete-event systems by Markov chains
- perform calculation and interpretation of limiting probabilities
- generate random variates
- perform basic calculations of reliability and availability
1. T. Daras, P. Sypsas, “Stochastic Processes’’ (in Greek).
2. O. Chrysafinou, “Introduction to Stochastic Processes’’ (in Greek).
1. S. Ross, Introduction to probability models, Academic Press, 2002.
2. S. Karlin and H.M. Taylor, A first course in stochastic processes, Academic Press, 1975.
|Learning Activities and Teaching Methods |
5 in-class quizzes
Final written exam
Lectures: 36 hrs
Recitation: 26 hrs
Personal study: 60 hrs
Quizzes: 3 hrs
Final exam: 3 hrs
Total: 128 hrs (5 ECTS)
|Assessment/Grading Methods |
|Review-Problem Session ασκήσεις
||125 hours (5 ECTS)
|Language of Instruction|
|Greek, English (for Erasmus students)|
|Μode of delivery |
Weekly class meetings
Weekly recitations (devoted mostly to problem solving)