MS-C2111: Stochastic Processes
| Course name | Stochastic Processes |
|---|---|
| Course code | MS-C2111 |
| Abbreviation | Stokis, Stopo |
| Period | II |
| Lecturer | Eveliina Peltola |
Description
The course offers a concise introduction to stochastic processes, i.e., time-dependent random phenomena. Includes a lot of important concepts that show up in (probability) mathematics often, such as Markov chains and Poisson processes. Good for deepening knowledge of probability theory after the mandatory basic course.
Course material
Official material
High-quality, up-to-date, \LaTeX-written lecture notes.
Extra material
Many books are recommended on the MyCourses page of the course, e.g., Foundations of Modern Probability by O Kallenberg.
Contents and workload
Quite basic mathematics course with some interesting topics, not that laborious.
Overall workload
Weekly contents
| Week | Topics |
|---|---|
| 1 | Markov chains, transitions matrices, limit distributions. Lots of stuff here on the basics of stochastic processes. |
| 2 | Ergodicity, passage times, hitting probabilities. |
| 3 | Countable state spaces, birth-death process, generating functions. |
| 4 | Branching processes, extinction probability, point process, Poisson process. |
| 5 | More on Poisson processes, continuous time Markov chains. |
| 6 | More on continuous time Markov chains, Monte Carlo. |
Practicalities
As usual, the course can be completed in two ways:
- Homework + exam. Bonus points are also available from quizzes and classroom exercises (2025).
- Exam only.
Related courses
Official prerequisites
MS-A05XX, MS-A00XX, MS-A02XX
Additional prerequisites
None, the official prerequisites are comprehensive.
More like this
CS-E5795 and similar master’s level stochastics/probability courses. Presumably some good synergy with the bachelor-level probability courses as well.
Trivia
Timestamp
Based on the 2025 version.