Peter Guttorp
Padelford B213
Email: peter at stat dot washington dot edu
Office hours: M 2-3; Th 11-12

Wednesday, Friday 12:30-1:50
Mary Gates Hall 234

Grimmett and Stirzaker: Probability and Random Processes, 3rd edition. Oxford Science Press.

The course will cover topics in applied stochastic processes, with examples and applications from various fields of science and social science. The required background is probability theory at the level of STAT/MATH 395. More specifically, we will cover the following topics:

1. Stochastic models
• Lecture 1
• Lecture 2
2. Markov chains
• Lecture 3
• Lecture 4
• Group problems
  
• Lecture 5
• Lecture 6
• Group problems (Formula in (b) corrected)
• Solution to 10/10 exercises
• Handout on difference equations
• Review lecture.
• Lecture 7.
• Lecture 8
• Group problems
3. Birth and death processes
• Lecture 9
• Group problems
• Lecture 10
• Lecture 11
• Group problems
• Lecture 12
• Lecture 13
• Group problems
4. Brownian motion
• Lecture 14
• Lecture 15
5. Review
• Review lecture

As we go along, each of these headings will be linked to readings and lecture material. A detailed schedule will be updated as we go along.

Homework is due in class on Fridays.

Midterm exam: Friday, Oct 24 in class. You are allowed one sheet of notes.
Final exam: Thursday, Dec 11 8:30-10:30 am

Homework              45%
Midterm                  20%
Final                        30%
Class participation     5%