STAT498: Introduction to Stochastic Processes II (2021)

This is a 10-week lecture-based course focused on introducing stochastic processes and their applications. Throughout the course, we mainly take a continuous-time point of view and a large part of the course aims to cover useful classes of continuous-time stochastic processes including Poisson processes, renewal processes, birth-and-death processes, Brownian motion, diffusion processes, and geometric Brownian motion.

Check the Syllabus for detailed course plan.

Instructor: Fang Han (fanghan@uw.edu)

TA: Hongjian Shi (hongshi@uw.edu)

Lectures: MWF 11:30-12:20, in Zoom

Office hours: check the syllabus

Midterm: 02/10, take-home

Final: 03/12, take-home

Lecture notes:

Lecture note 1

Lecture note 2

Homework assigments:

HW1

HW2

HW3

HW4