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Timetable: The course is lectured during period 4, 2013. The lecturer is professor Göran Högnäs. Lectures are held on Mondays 13-15, Tuesdays 15-17 and Fridays 10-12. The venue is Hilbertrummet, ASA B329. The course starts at 1 p.m. on Monday, March 18 and goes on until 17 May. The course ends with a written examination (closed-book) on 22.5, 9-13, in Hilbertrummet ASA B329.

Description: The course treats the basic theory and modelling techniques of Poisson processes and other Markov processes in continuous time.

Contents: Poisson processes (homogeneous, inhomogeneous, compound, multidimensional) with generalizations such as birth and death processes and applications in actuarial mathematics, reliability theory, queueing theory etc.

Literature: Sheldon M. Ross: Introduction to Probability Models, 9th ed., Academic Press 2007. A number of books are available at the student library in the ASA building. Additional material may be used. All material will be available in Room B310.

Prerequisites: Analysis (Calculus), probability theory and a course on linear algebra or matrix calculus. Some knowledge of differential equations is also helpful. Programming ability using a major mathematical programming package such as Mathematica or Matlab is necessary.

Additional information: There will be some compulsory theoretical and numerical exercises and assignments. The course poster may be found here.

Lecture notes:
Pages: 1-10 11-18 18-19 20-28 29-38 33 39-44 45-54 55-60 61-70 71-84 85-92 93-100 101-103 104-109

  • A general simulation principle
  • Random sums

  • Exercises: (starred exercises contain compulsory assignments)

  • Exercises for 26 March
  • Exercises for 9 April *
  • Exercises for 16 April
  • Exercises for 23 April *
  • Exercises for 7 May *
  • Discussion topics for 14 May