Math 180B
Introduction to Stochastic Processes, I

Winter 2015

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.

The required text for Math 180B (and 180C) is An Introduction to Stochastic Modeling (Fourth Edition) by M. Pinsky and S. Karlin. I plan to discuss most of the material contained in chapters 3, 4, and 5 of the text; the first two chapters contain review material.

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January 5, 2015