MATH / STAT 491: Introduction to Stochastic Processes

Fall Quarter 2013: Syllabus (last updated 10/02/2013)

Course personnel:

• Professor: Jon A. Wellner
• B320 Padelford Hall
• Phone: 543-6207
• Office hours: 1:30 - 3:30 MWF; or by appointment
•  
• Teaching Assistant: Shuliu Yuan
• B224 Padelford Hall
• Office hours: 10:30-12:30, Tuesday and Thursday

Administrative Information:

• Time(s): MWF 11:30 - 12:20
  
• Place: Loew 205

Prerequisites:

• Probability Math/Stat 395
• An interest in stochastic processes

Required Texts:

• Introduction to Probability Models , 10th Edition, by Sheldon Ross.
• Essentials of Stochastic Processes, 2nd Edition, by Richard Durrett.

Supplemental texts:

• Breiman, L. (1969). Probability and stochastic processes with a view toward applications. Houghton Mifflin, Boston.
• Cinlar, E. (1975). Introduction to stochastic processes. Prentice-Hall, Englewood Cliffs, N.J.
• Hoel, P.G., Port, S.C., and Stone, C.J. (1972). Introduction to stochastic processes. Houghton Mifflin, Boston.
• Karlin, S. and Taylor, H. M. (1975). A first course in stochastic processes. Academic Press, New York.
• Karlin, S. and Taylor, H. M. (1981). A second course in stochastic processes Academic Press, New York.
• Lawler, G. F. (2006). Introduction to stochastic processes. Chapman and Hall, Boca Raton, Florida.
• Resnick, S. (1992). Adventures in stochastic processes. Birkhauser, Boston.
• Ross, S. M. (1996). Stochastic processes. Wiley, New York.

Grading:

• Homework: 20%
• Midterm I: 20%: Monday, October 28 (in class).
• Midterm II: 20%: Friday, November 22 (in class).
• Final: 40%
  (Scheduled time & date: 2:30 - 4:20, Wednesday, December 11).

Lectures:

• Chapter 1. Probability review and conditional expectations
• Chapter 2. Random walk and martingales
• Chapter 3. Poisson processes
• Chapter 4. Markov chains, part I: classification of states
• Chapter 5. Markov chains, part II: limiting behavior and applications.
• Chapter 6. Renewal processes.

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