Math 285
Stochastic Processes
Winter 2023
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 12:00 PM to 12:50 PM, in APM B402A.
- Your course grade will be based on weekly homework assignments.
- The completion of a course in undergraduate probability theory (equivalent to MATH 180A) is highly recommended. Prerequisites: graduate standing. Non-graduate students may enroll with consent of instructor.
- For complete details consult the course Canvas page.
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Last updated January 2, 2023