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Glossary
Semester (Sem)
1First Semester
2Second Semester
AAnnual course
Educational activities
BIdentifying activities
Language
Course completely offered in italian
Course completely offered in english
--Not available
Innovative teaching
The credits shown next to this symbol indicate the part of the course CFUs provided with Innovative teaching.
These CFUs include:
  • Subject taught jointly with companies or organizations
  • Blended Learning & Flipped Classroom
  • Massive Open Online Courses (MOOC)
  • Soft Skills
Course Details
Context
Academic Year 2019/2020
School School of Industrial and Information Engineering
Name (Master of Science degree)(ord. 270) - MI (487) Mathematical Engineering
Track MMF - Quantitative Finance
Programme Year 2

Course Details
ID Code 054074
Course Title STOCHASTIC DYNAMICAL MODELS
Course Type Mono-Disciplinary Course
Credits (CFU / ECTS) 8.0
Semester First Semester
Course Description Discrete time Markov chains. Structure of transition matrices, transient and recurrent states, Perron-Frobenius theorem, convergence towards invariant measures. Discrete time martingales, stopping theorem and applications to Markov chains, maximal inequality, Doob inequality, convergence theorems. Introduction to the general theory of continuous-time stochastic processes. Poisson process, independence of increments, exponential sojourn times. Renewal processes, law of large numbers and central limit theorem. Applications to reliability theory. Continuous time Markov chains, queues, transition rates, sojourn times. Forward and backward Kolmogorov equations. Invariant distributions and ergodic theorem. M/M/1 and M/M/k queues, stationary dynamics. General notion on stochastic processes, Kolmogorov consistency. Markov processes with continuous state space, Harris recurrence.
Scientific-Disciplinary Sector (SSD)
Educational activities SSD Code SSD Description CFU
B
MAT/06
PROBABILITY AND STATISTICS
8.0
Innovative teaching The course includes  1.0  credits in Innovative Teaching as follows:
  • Blended Learning & Flipped Classroom
  • Soft Skills

Schedule, add and removeAlphabetical groupProfessorLanguageCourse details
From (included)To (excluded)
--AZZZZFagnola Franco
manifesti v. 3.5.7 / 3.5.7
Area Servizi ICT
29/05/2023