The course covers the basics of stochastic processes, especially the Poisson process, and the statistical theory of stochastic simulation (Monte Carlo methods), i.e. methods used to solve problems that are difficult to solve analytically. The simulation section includes methods for generating random numbers from different distributions and integral estimation with error estimation. Great emphasis is placed on methods for the simulation of Poisson processes to allow for the simulation of queuing and inventory systems. Throughout the course there is a strong focus on implementing the methods treated using Matlab.
The course requires 15 ECTS mathematics, 6 ECTS mathematical statistics and 7.5 ECTS computer programming, or equivalent.
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