Modelling of Stochastic Processes

This is going to be an advanced course in stochastic processes. The main focus is on modelling of complex systems in an multi-agent environment. The course is intended for students of engineering or computer science having already taken a course on elementary probability theory.

Contents:

1. Basic Definitions
• Measure Theory
• Probability Theory
• Stochastic Process
• Random Functions
• Notation
2. One-Parameter Process
• One-Parameter Process
• Operator Representation
3. Markov Process
• Markov Property
• Transition Probability

Lecture Notes (pdf)