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課程名稱 |
隨機過程導論
INTRODUCTION TO STOCHASTIC PROCESSES |
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開課學期 |
94-2 |
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授課對象 |
理學院 數學系 |
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授課教師 |
謝南瑞 |
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課號 |
MATH5504 |
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課程識別碼 |
221 U4410 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6(12:20~14:10)星期三5(12:20~13:10) |
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上課地點 |
新數101 |
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備註 |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
Contents：
Chapter 1: Basic Theory of Stochastic Processes
Chapter 2: Discrete Time Markov Chains
Chapter 3: Continuous Time Markov Chains
Chapter 4: Second Order Processes
Chapter 5: Brownian Motions ( subject to adjust)
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課程目標 |
To introduce the mathematics of stochastic processes. |
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課程要求 |
Course prerequisite：
This course is suitable for those who have taken Basic Probability; some knowledge of Measure Theory is better.
Failure Rate is about 20 percent.
The course is essentially math oriented.
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
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參考書目 |
The contents and exercises are adapted from the followings:
S Karlin and H Taylor: A First Course in Stochastic Processes, 2nd Ed(1975)
J Lamperti: Probability Chap 4 (1966); Stochastic Processes(1977)
R Durrett: Essentials of Stochastic Processes(1998)
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
HmWork and BbEx |
40% |
HmWork and BbEx:40 percent; |
2. |
Exam(s) |
60% |
Exam(s):60 percent. |
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