MTH 216/STA 253, Spring 2000
Applied Stochastic Processes 
TT 9:10-10:25, 216 Physics
Greg Lawler, 128B Physics

Office Hours: Mondays and Tuesdays 1:30 - 2:30 and by appointment

An introduction to stochastic processes without measure theory. Prerequisites are MTH 135 (Probability) and MTH 104 (Linear Algebra) or the equivalent.   Students are also expected to be able to do easy programming (including use of a random number generator) and should have access to some software that will do matrix computations (inverses and finding eigenvalues and eigenvectors.)
 

Text

Lawler, Introduction to Stochastic Processes , CRC/Chapman and Hall

Updated (again) Schedule of Lectures

The dean has decreed that we will have make-up classes on Sunday, February 6 (2:10 -- 3:25), Saturday, February 12 (2:10 -- 3:25), and Saturday, March 25 (2:10 -- 3:25). We will go along with the dean's wishes. Here is a revised schedule for the semester.

Jan 13 -- Feb 3       Chapter 1
Feb 6                            Section 0.3
Feb 8 -- Feb 12       Chapter 2
Feb 15 -- Feb 22       Chapter 3
Feb 24       no class
Feb 29 -- Mar 2       Chapter 4
Mar 7 -- Mar 22       Chapter 5 (no class Mar 14, Mar 16)
Mar 25 -- Mar 28       Chapter 6
Mar 30       no class
Apr 4 -- Apr 6       Chapter 7
Apr 11 -- Apr 20       Chapter 8
Apr 25 -- Apr 27       Chapter 9

Assignments

        There will be weekly homework assignments. There will also be a take-home final/assignment handed out on Tuesday, April 25 and due no later than noon, Saturday, May 6.

Assignments are officially due on Tuesday at class time. They may be handed in any time up to 12:00 Wednesday in my mail box (121 Physics). No assigments will be accepted after that time. Solutions in pdf format. (Solutions last updated 4/25/00. Includes PS1 - PS2 and also Problem 1.15)

PS1 and PS2 (due 2/1) 1.1, 1.2, 1.3, 1.4, 1.5, 1.7.
PS3 (due 2/8) 1.8, 1.9, 1.10, 1.11, 1.12, 1.13, 0.2, 0.3
PS4 (due 2/15) 2.1, 2,2, 2.3, 2.4, 2.6, 2.7, 2.9
PS5 (due 2/29) 3.1, 3.2, 3.5, 3.6, 3.7, 3.8
PS6 (due 2/29) 3.9, 3.10, 3.12
PS7 (due 3/7) 4.1, 4.2, 4.3, 4.4, 4.6, 4.7
PS8 (due 3/21) 5.2, 5.3, 5.4, 5.5, 5.9, 5.10
PS9 (due 3/28) 5.6, 5.7, 5.8, 5.12, 5.13
PS10 (due 4/4) 6.1, 6.2, 6.3, 6.5, 6.6
PS11 (due 4/11) 7.1, 7.2, 7.3
PS12 (due 4/18) 8.1, 8.2, 8.3, 8.5, 8.8
PS13 (due 4/25) 8.4, 8.6, 8.7, 8.9, 8.10
PS13 will be the last regular assigment.

Final Problem Set/Exam

The final problem set will be handed out on class on Tuesday April 25. The exam will be due by Saturday, May 6 at noon. It may be turned in earlier to my mailbox. This problem set should be done indiviually. You may not discuss problems with others; however, you are free to use any books and computer resources. If any corrections are needed they will be posted here. Here is a copy of the final problem set.

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Last modified: 25 April 2000