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Stochastic Modelling

The document outlines a course on Stochastic Modeling, detailing its objectives, outcomes, and syllabus structure. It covers various modules including stochastic processes, discrete and continuous-time Markov chains, Brownian motion, and renewal processes, with a total of 45 lecture hours. Evaluation methods include end-term exams and various assessments such as mini projects and class participation.

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jbalaji47
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20 views1 page

Stochastic Modelling

The document outlines a course on Stochastic Modeling, detailing its objectives, outcomes, and syllabus structure. It covers various modules including stochastic processes, discrete and continuous-time Markov chains, Brownian motion, and renewal processes, with a total of 45 lecture hours. Evaluation methods include end-term exams and various assessments such as mini projects and class participation.

Uploaded by

jbalaji47
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Course code Course title L T P C

Stochastic Modeling 3 0 0 3
Pre-requisite Nil Syllabus version
v. 01.00
Course Objectives:
 To learn the applications of stochastic modelling.
 To understand the techniques of stochastic modelling.
Course Outcome
On the completion of this course the student will be able to:
To facilitate solutions using stochastic modeling for business decision making.
Module:1 Introduction to Stochastic Processes 9 Session
Basics of probability- random variables and distributions -sequence of random variables;
Stochastic process-Definition, classification, Simple stochastic processes
Module:2 Discrete-time Markov chains 9 Session
Introduction, Definition and Transition Probability Matrix, Chapman-Kolmogorov Equations,
Classification of States and Limiting Distributions: Limiting and Stationary Distributions,
Limiting Distributions, Ergodicity and stationary distributions-Time Reversible Markov Chain,
Application of Irreducible Markov chains in Queueing Models- Reducible Markov Chains
Module:3 Continuous-time Markov chains 9 Session
Definition, Kolmogrov Differential Equation and, Infinitesimal Generator Matrix, Limiting and
Stationary Distributions, Birth Death Processes, Poisson processes: M/M/1 Queuing model,
Simple Markovian Queueing Models: Applications of CTMC- Queuing networks, Communication
systems, Stochastic Petri Nets
Module:4 Brownian Motion 9 Session
Definition and Properties, Processes Derived from Brownian Motion, Stochastic Differential
Equation: Martingales: Conditional Expectation and filteration, Definition and simple examples
Module:5 Renewal Processes 9 Session
Renewal Function and Equation, Generalized Renewal Processes , and Renewal Limit Theorems,
Markov Renewal and Markov Regenerative Processes, Non Markovian Queues, Application of
Markov Regenerative Processes: Branching Processes, Stationary and Autoregressive Processes.
Total Lecture hours: 45 Session

Text Books
1. J Medhi, Stochastic Processes, 3rd edition, New Age International Publishers, 2009
2. Liliana Blanco Castaneda, Viswanathan Arunachalam, Selvamuthu Dharmaraja,
Introduction to Probability and Stochastic Processes with Applications, Wiley, 2012.
3. Kishor S. Trivedi, Probability and Statistics with Reliability, Queuing, and Computer
Science Applications, 2nd Edition, Wiley, 2002.
4. Introduction to Probability Models, Sheldon M. Ross, Academic Press, tenth edition,
2009.
Mode of Evaluation- End Term and any of these following components: Mini Projects / Seminars
/ Quizzes, Case Analysis and Case Discussion / Term Paper Class Participation

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