Module Handbook
AU 2024/2025
ModuleTitle: Stochastic Process and Modeling
FSU2
2nd year in Engineering UE SU214 Credit 2 Code
Field: 142
Departement: Informatique
1 X Course 12 DS 35%
Semester
2 DW 9 Exam 50%
Work Assessment
Load PW Mode Exam TP
Project Oral
Project 15%
Presentation
Total 21
Pedagogical Responsible Ahmed Ben Taleb Name and surname Chokri Terzi
Date Version V2
Targeted specific skills To be filled by Department
Course Description
The main goal of this course is to understand the behavior of stochastic systems. It offers different
modeling techniques and illustrates each model with a real case study.
Learning outcomes
At the end of this course, the student would be able to analyze the theoretical basis of these models and to choose the
appropriate model when faced with a new situation.
Keywords: Process, Stochastic, Markov chains, etc
Categories of learning outcomes targeted by this module (tick the corresponding
categories)
1. Knowledge and understanding X
2. Technical analysis
3. Technical design
4. Study and research X
5. Engineering practice
6. Decision making X
7. Communication and teamwork X
8. Lifelong learning X
Teaching and learning methods
- Presential and distance learning
- Data Show and board
Prerequisites:
Modules Skills Tools /Env
Assessment methods and criteria:
The evaluation for this course consists of an attendance grade, a midterm exam, and a final exam.
References and bibliography
Breton, J. C. (2013). Processus stochastique. Université de Rennes1.
Lefebvre, M. (2005). Processus stochastiques appliqués. Presses inter Polytechnique.
Dellacherie, C. (2019). Capacités et processus stochastiques (Vol. 67). Springer.
Course Content
1. Pre-acquired ………………………………………………..…………………………………
1.1. Descriptive statistics ………………………………………………..…………………………………
1.2. Probability ………………………………………………..…………………………………
1.3. Statistical inference ………………………………………………..…………………………………
1.4. Econometrics ………………………………………………..…………………………………
2. Stochastic processes : Introduction ………………………………………………..………………
2.1. Concept of process .............................................. .................................................. ..........
2.2. Types of processes .............................................. .................................................. ............
2.3. Examples .................................................. .................................................. .........................
2.4. Stationnarity : Unit root test ………………………………………………..……
2.5. Volatility (clustering) : ARCH test ………………………………………………..……
3. Poisson point process ………………………………………………..……
3.1. Remainder ………………………………………………..……
3.1.1. Definition ………………………………………………..……
3.1.2. Poisson distribution ………………………………………………..……
3.1.3. Properties ………………………………………………..……
3.2. Poisson process ………………………………………………..……
3.2.1. Definition ………………………………………………..……
3.2.2. Examples ………………………………………………..……
4. Markov process : Discret-time Markov chain ………………………………………………..……
4.1. Examples ............................................. ...........................................
4.2. Definitions .................................................. .................................................. .........................
4.3. Graph presentation ………………………………………………..……
4.4. Probability distribution ………………………………………………..……
4.5. Stochastic transition matrix ............................................. .......................................
4.6. Invariant distribution ………………………………………………..……
4.7. Markov chains absorbing............................................. .............................................
4.8. Irreducible Markov chain ………………………………………………..……
4.9. Adjacency matrix ………………………………………………..……
5. Continuous-time Markov chain ......................................... ....................
5.1. Reversible Markov chain ............................................. ..................................................
5.2. Random walks .................................................. .................................................. ................
6. Brownian motion : Wiene process ………………………………………………..……
7. Birth-death process ………………………………………………..……
8. Time series models : AR, MA, ARMA, ARIMA, ARCH, GARCH family ………….
8.1. Definition ………………………………………………..……
8.2. Properties ………………………………………………..……
9. Application : Eviews software ………………………………………………..……
