MTH 216/STA 253, Spring 2001
Applied Stochastic Processes 
MW 2:20 -- 3:35, 120 Physics
Greg Lawler, 128B Physics

Office Hours: T 1:30 -- 3:30 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

Schedule of Lectures


Jan 10 -- Jan 24 Chapter 1
Jan 29 -- Feb 12 Chapter 2 (including 0.3)
Feb 14 -- Feb21 Chapter 3
Feb 26 -- Feb 28 Chapter 4
Mar 5 -- Mar 19 Chapter 5
Mar 21 -- Mar 26 Chapter 6
Mar 28 -- Apr 2 Chapter 7
Apr 4 -- Apr 16 Chapter 8
Apr 18 -- Apr 23 Chapter 9
Apr 25 Black-Scholes Model

Assignments

        There will be weekly homework assignments, as well as a take home final examination. There will be no in class tests. The assignments for a particular week should be done by Monday of the next week, although I will not collect them until the Wednesday of that week. Late assignments will not be accepted. Assignments may be handed in early in my mailbox in room 121, Physics.

PS1 (due 1/22): 1.1, 1.2, 1.3, 1.4, 1.12(a)
PS2 (due 1/29): 1.5, 1.7, 1.8, 1.9, 1.11, 1.13
PS3 (due 2/5): 0.2, 0.3, 0.4, 2.1, 2.4, 2.5(b)-(c)
PS4 (due 2/12): 2.2, 2.3, 2.6, 2.7, 2.8, 2.9, 2.11
PS5 (due 2/19): 3.1, 3.2, 3.3, 3.5, 3.6, 3.7
PS6 (due 2/26): 3.8, 3.9, 3.11, 3.12, 4.1, 4.2, 4.7
PS7 (due 3/5) 4.3, 4.4, 4.5, 4.6, 5.1, 5.2
PS8 (due 3/19) 5.4, 5.5, 5.6, 5.7, 5.8, 5.9, 5.10
PS9 (due 3/26) 5.11, 5.12, 5.13, 5.14, 6.5 (Note: there is a typo in Problem 5.12 --- It should read S_n = 1 + X_1 + X_2 + ... + X_n)
PS10 (due 4/2) 6.1, 6.2, 6.3, 6.6, 7.1, 7.3
PS11 (due 4/9) 7.2, 8.1, 8.2, 8.3, 8.6A
PS12 (due 4/16) 8.4, 8.5, 8.7, 8.8, 8.9, 8.10 (Note: there is a type in 8.10 --- "4/5" should be "3/5")
PS13 (due 4/23) 9.1, 9.2, 9.3, 9.4 with b(x) = |x|^{3/4}.
Note: this is the last regular problem set. The final problem set/take home exam will be handed out on 4/23.

Final Problem Set

Here is the final problem set. It is due by noon on Saturday, May 5.
CORRECTIONS TO FINAL PROBLEM SET
On problem 4, there should be no expectation (E) in the definition of M_n, M_n = phi(t)^{-n} e^{t(X_1 + ... _+ X_n)}
On problem 5, the 998 should be 98

Return to: Greg Lawler's home page

Last modified: 25 April 2001