120 credits. Probability Theory I. Proficiency in English equivalent to the Swedish upper secondary course English 6.
The Markov property. Chapman-Kolmogorov's relation, classification of Markov processes, transition probability. Transition intensity, forward and backward equations. Stationary and asymptotic distribution. Convergence of Markov chains. Birth-death processes. Absorption probabilities, absorption time. Brownian motion and diffusion. Geometric Brownian motion. Generalised Markov models. Applications of Markov chains.
