PMNPRO Stochastic processes

Faculty of Economics and Administration
Spring 2008
Extent and Intensity
2/1. 4 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Dalibor Moravanský, CSc. (lecturer)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Applied Mathematics and Computer Science – Faculty of Economics and Administration
Contact Person: Lenka Hráčková
Timetable
Wed 18:00–19:35 S311
  • Timetable of Seminar Groups:
PMNPRO/1: Thu 12:50–14:30 VT105, D. Moravanský
Prerequisites
Statistics II, Statistics II
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 13 student(s).
Current registration and enrolment status: enrolled: 0/13, only registered: 0/13, only registered with preference (fields directly associated with the programme): 0/13
fields of study / plans the course is directly associated with
Course objectives
Stochastic processes (PMNPRO). Students will be acquainted with foundations of theory of stochastic processes, the application use of which interferes with many branches of research and practice. They shall also adopt the tools of the analysis of the recurrent events and of classifications of their types. Further, the students will be given basic knowledge on Markov chains, both discrete and continuous. The exposition will be oriented on the classification of states of a Markov chain, on the solution of the Chapman-Kolmogorov equations providing a efficient method for computing n-step transition probabilities, on steady-state equations etc. The detailed attention will be devoted mainly to Poisson and Yule processes, to general process of the birth-and-death and to other important topics. Acquired theoretical knowledge will be consequently applied in relevant application areas as are, e.g. theory of queues and theory of renovation and in models of management of inventories. The emphasis will be placed on the basic schemes of queueing theory, both from the point of view of their formulations as well as of the means of their solution and implementation. The explanation will be concentrated onto the models with one and the more exponential service channels (servers), and onto the several (both parallel and serial) systems with exponential, Erlang, and general distributions of the access time, and of the time of the dispatching of the costumer at the server. In the framework of the inventory theory, the three basic topics the attention will be focused on: the renovation of the ageing equipment, the renewal of the failing elements and the reliability models.
Literature
  • JABLONSKÝ, Josef. Operační výzkum :kvantitativní modely pro ekonomické rozhodování. 1. vyd. Praha: Professional publishing. 323 s. ISBN 80-86419-23-1. 2002. info
  • KOŘENÁŘ, Václav. Stochastické procesy. Vyd. 1. Praha: Vysoká škola ekonomická v Praze. 227 s. ISBN 8024503115. 2002. info
  • JABLONSKÝ, J. Operační výzkum. Praha: VŠE Praha. ISBN 80-7079-597-2. 1999. info
  • HILLIER, Frederick S. and Gerald J. LIEBERMAN. Introduction to operations research. 6th ed. New York: McGraw-Hill. xix, 998. ISBN 0071139893. 1995. info
Language of instruction
Czech
Further Comments
Study Materials
The course is taught annually.
The course is also listed under the following terms Spring 2009.
  • Enrolment Statistics (Spring 2008, recent)
  • Permalink: https://is.muni.cz/course/econ/spring2008/PMNPRO