This course is an introduction to Stochastic Processes for beginning mathematics graduate students and
graduate students from other science and engineering disciplines. For mathematics graduate students the course will provide background and motivation for the more advanced year-long sequence Math 280ABC (measure-theoretic probability). Students from other disciplines will find that the course provides a theoretical basis for applied work in stochastic modeling.
Topics to be covered include: Markov chains in discrete and continuous time; martingales; Brownian motion.
- We shall be using the text Introduction to Stochastic Processes (second edition) by G. Lawler. Some supplementary material on topics not covered by the text may also be provided.
- Lectures will be on Monday, Wednesday and Friday, from Noon to 12:50 AM, in APM 7421.
- The Final Exam is scheduled for Wednesday, June 8, 11:30 AM to 2:30 PM.
- Your course grade will be based on weekly homework assignments.
- The official prerequisite for this course is Math 180A (an upper-division Introduction to Probability course).
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Last updated February 25, 2011