MTH 216/STA 253, Spring 1998
Applied Stochastic Processes
TT 9:10-10:25, 205 Physics
Greg Lawler, 128B Physics
Office Hours: TW 10:30- 12:00
This is 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, Chapman and Hall
We will cover essentially the whole book.
Schedule of Lectures
Jan 15 - Jan 27
Chapter 1
Jan 29 - Feb 10
Chapter 2 (including 0.3)
Feb 12 - Feb 19
Chapter 3
Feb 24 - Feb 26
Chapter 4
Mar 3 - Mar 12
Chapter 5
Mar 17 - Mar 19
Spring Break
Mar 24 - Mar 26
Chapter 6
Mar 31 - Apr 2
Chapter 7
Apr 7 - Apr 16
Chapter 8
Apr 21 - Apr 23
Chapter 9
Apr 25
The Black-Scholes Model
Assignments
Assignments are officially
due on Tuesday, but they will not be collected until the following
Thursday.
PS1 (due 1/20): 1.1, 1.2,
1.3
PS 2 (due 1/27): 1.5, 1.6, 1.7, 1.9, 1.12, 1.13 (a) - (c)
PS 3 (due 2/3): 1.8, 1.10, 1.11, 1.13 (d) - (e), 0.2, 0.3
PS 4 (due 2/10) 2.1, 2.2, 2,3, 2.4, 2.10
PS 5 (due 2/17) 2.6, 2.7, 2.9, 3.1, 3.2
PS 6 (due 2/24) 3.5, 3.7, 3.8, 3.9, 3,10, 3.12
PS 7 (due 3/3) 4.1, 4.2, 4.3, 4.4, 4.6
PS 8 (due 3/10) 5.2, 5.3, 5.4, 5.5, 5.9, 5.10
PS 9 (due 3/24) 5.6, 5.7, 5.8, 5.12, 5.13
PS 10 (due 3/31) 6.1, 6.2, 6.3, 6.5, 6.6
PS 11 (due 4/7) 7.1, 7.2, 7.3
PS 12 (due 4/14) 8.1, 8.2, 8.3, 8.5, 8.8
PS 13 (due 4/21) 8.4, 8.6, 8.7, 8.9, 8.10
Return to: Greg Lawler's home
page
Last modified: 14 April 1998