Statistics 433: Introduction to stochastic processes

General information

• If you haven't registered--let me know ASAP via email.
• Drop homework in box.
• Class: TTh 3-4:30, in F92.
• The target goals are here.
• Office hours: Tuesday 4:30 (Huntsman 472). Or email me for an appointment.
• TA: Jordan. Office hours TTh 4:30-5:30.
• Homework typically due Friday by noon.
• Book: Introduction to Stochastic modeling, by Taylor and Karlin, 3rd edition.
• Work load: This course will be driven primarily by problems. Hence there will be problem sets due weekly.
  • Homework = 40%
  • Midterm = 30%
  • Final = 30%

Schedule

• Sep 8: Chapters 1 & 2: Review of probability (Read: pp 1-15, 57 - 68). Start doing HW1.

• Sep 13: Section 2.5: Martingales (I'll also take questions about HW1) (Read: pp 60-61, and 87 - 93)
• Sep 15: Markov chains 1 (p 95 - 102)
• Sep 16 @ noon: HW 1 due

• Sep 20: Markov chains 2 (p 105-112)
• Sep 22: Markov: First step analysis (p 116 - 124)
• Friday Sep 23: @ noon: HW 2 due

• Sep 27: Markov: examples (p 135 - 147)
• Sep 29: Markov: Random walks
• Friday Sep 30: @ noon: HW 3 due

• Oct 4: Markov: Random walks
• Oct 6: Branching processes (III.8)
• Friday @ noon: HW 4 due

• Oct 13: Branching and generating functions (III.9)
• Friday @ noon: (read III.7) Homework 5 due

• Oct 18: III 7: first step revisited
• Oct 20: Chapter IV: Long run behavior of Markov chains (coupling argument) (cute coupling examle)
• Oct 21: Homework 5 due

• Oct 25: Midterm exam (Review questions)
• Oct 27: Special presentation by Mike Steele
• Oct 28: No homework due this week

• Nov 1: IV.2: Models
• Nov 3: Communication classes (IV.3)
• Nov 4: Homework 7 due

• Nov 8: V.1: The Poisson distribution (V.1 and V.2)
• Nov 10: V.2: Rare events (V.3 and V.4 up to page 305)
• Friday: Homework 8

• Nov 15: V.3: Gamma
• Nov 17: V.4: connection to uniform distribution ( read VI.4 and VI.5)
• Monday (21st) Homework 9
• Nov 22: V.5 and V.6

• Monday 28: Homework 10
• Nov 29: Chapter 6: Continuous time Markov chains
• Dec 1: Chapter 6.2, 6.3: Birth / Death processes ( finish reading VI.1-5)

• Dec 6: Chapter 8:Brownian motion 1 and Chapter 8:Brownian motion 2
• Dec 7: (Wednesday) Homework 11 due
• Dec 8: More on brownian motion

• Do homework 12 before the final
• FINAL: Fri Dec 16 12:00 - 2:00 F90 JMHH