Introduction to Stochastic Processes, I
This course is an introduction to some basic topics in the theory of stochastic processes. After finishing the discussion of multivariate distributions and conditional probabilities initiated in Math 180A, we will study Markov chains in discrete time. We then begin our investigation of stochastic processes in continuous time with a detailed discussion of the Poisson process. These two topics will be combined in Math 180C when we study Markov chains in continuous time and renewal processes.
We shall be using the Math 180A text (PROBABILITY by Jim Pitman)
at the beginning of the term, but the required text for Math 180B (and 180C)
is An Introduction to Stochastic Modeling (Third Edition) by H. M. Taylor and S. Karlin. I plan to discuss most of the material contained in chapters III, IV, and V of the text; the first two chapters contain review material.
- Lectures will be on Monday, Wednesday and Friday, from 2pm tp 2:50 pm, in Warren Lecture Hall 2111.
- Discussion sections with your TA meet on Wednesdays according to the following schedule:
Section A01: 6 PM to 6:50 PM, WLH 2207
Section A02: 7 PM to 7:50 PM, WLH 2209
- Your course grade will be based on your performance on the two midterm exams and the final exam. These exams will be weighted as follows:
- Midterm 1: 20%
- Midterm 2: 25%
- Final: 40%
- In addition there will be weekly homework assignments which in total will
account for the remaining 15% of your grade.
These assignments will be due at 5 PM on Wednesdays,
in the homework drop box on the sixth floor of APM. (Exception: The first homework is due on Friday, January 8.)
- The midterm exams will be given on January 29 and February 26.
- The +/- grading system will be used for letter grades.
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January 6, 2010