## SEE: Guide to Download NPTEL Video Lecture

## Lecture Details :

Stochastic Processes by Dr. S. Dharmaraja, Department of Mathematics, IIT Delhi. For more details on NPTEL visit http://nptel.iitm.ac.in

## Course Description :

Contents:

Probability Theory Refresher: Axiomatic construction of probability spaces, random variables and vectors, probability distributions, functions of random variables; mathematical expectations, transforms and generating functions, modes of convergence of sequences of random variables, laws of large numbers, central limit theorem.

Introduction to Stochastic Processes (SPs): Definition and examples of SPs, classification of random processes according to state space and parameter space, types of SPs, elementary problems.

Discrete-time Markov Chains (MCs): Definition and examples of MCs, transition probability matrix, Chapman-Kolmogorov equations; calculation of n-step transition probabilities, limiting probabilities, classification of states, ergodicity, stationary distribution, transient MC; random walk and gambler’s ruin problem, applications.

Continuous-time Markov Chains (MCs): Kolmogorov- Feller differential equations, infinitesimal generator, Poisson process, birth-death process, Applications to queueing theory, inventory analysis, communication networks, finance and biology.

Brownian Motion: Wiener process as a limit of random walk; first -passage time and other problems, applications to finance.

Branching Processes: Definition and examples branching processes, probability generating function, mean and variance, Galton-Watson branching process, probability of extinction.

Renewal Processes: Renewal function and its properties, elementary and key renewal theorems, cost/rewards associated with renewals, Markov renewal and regenerative processes, applications.

Stationary Processes: Weakly stationary and strongly stationary processes, moving average and auto regressive processes.

Martingales: Conditional expectations, definition and examples of martingales, inequality, convergence and smoothing properties, applications in finance.

## Other Resources :

### Syllabus | Handouts | Citation |

Above free video lectures are presented by IIT Delhi, under NPTEL program, there are still 6000+ iit video lectures are available.

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