Statistics 433: Introduction to stochastic processes

TODAY! 12:00 - 2:00 JMHH 365: Final exam.

FINAL in JMHH 365

FINAL in JMHH 365

FINAL in JMHH 365

General information

• The target goals are here.
• Stat lab JHH-F96: Basically M-F, 9 - 5, (but Wed starts 2 hours early and ends 2 hours early.
• Office hours: Tuesday at 3 (Huntsman 472). Or email me for an appointment.
• TA: Alexander Braunstein. Office hours Tu 9-10:30.
• Book: Introduction to Stochastic modeling, by Taylor and Karlin, 3rd edition.
• Work load: This course will be driven primarily by problems. Hence there will be problem sets due weekly.
  • Homework = 40%
  • Midterm = 30%
  • Final = 30%

Homework

• Please xerox your homework and turn in one copy. You will not get it back!
• Put it in the box outside my door.
• If you need to turn in late homework (it will be severally penalized) you will have to scan it and email it to Sivan. Please make sure the scanned file is only one file!

Schedule for spring 2008

• Jan 17: Chapters 1 & 2: Review of probability (Read: pp 1-15, 57 - 68). Start doing HW1. (taped)

• Jan 22: Section 2.5: Martingales (I'll also take questions about HW1) (Read: pp 60-61, and 87 - 93) (corrected proof)
• Jan 24: Limit theorem for martingales
• Jan 25: 3pm HW 1 due

• Jan 29: Markov chains 1 (p 95 - 102)
• Jan 31: Markov chains 2 (p 105-112)
• Feb 1: 3pm Homework 2 due

• Feb 5: Markov: First step analysis (p 116 - 124)
• Feb 7: Markov: examples (p 135 - 147)
• Feb 8: 3pm Homework 3 due

• Feb 12: Markov: Random walks (141 - 166)
• Feb 14: Markov: Random walks
• Feb 15: 3pm Homework 4 due

• Feb 19: Branching processes (III.8)
• Feb 21: ABACADABRARA and martingales
• Feb 22: 3pm Homework 5 due

• Feb 26: III 7: first step revisited (III.7)
• Feb 28: Midterm (Review questions)

• Mar 4: Chapter IV: Long run behavior of Markov chains
• Mar 6: IV.2: Models
• Mar 7: Homework due (Homework 6) (answer to 2008 exam)

• (Spring break!) (Spring break!) (Spring break!) (Spring break!) (Spring break!)

• Mar 18: V.1: The poisson distribution (V.1 and V.2)
• Mar 20: V.2: Rare events
• Mar 21: Homework due (Homework 7)

• Mar 25: V.3: Gamma and V.4: connection to uniform distribution (V.3 and V.4 up to page 305)
• Mar 28: Chapter 6: Continuous time Markov chains
• Mar 29: Homework due (Homework 8)

• Apr 1: Chapter 6.2, 6.3: Birth / Death processes
• Apr 3: Models from biology ( read VI.4 and VI.5)
• Apr 4:(Homework 9)

• Apr 8: carrying capacity models ( finish reading VI.1-5 also read about r/K strategies from the wiki)
• Apr 10: Chapter 8:Brownian motion
• Apr 11:(Homework 10)

• Apr 15: 8.2: Reflection
• Apr 17:8.3: Models
• Apr 19:(Homework 11)

• Apr 22: 8.4: Drift and stock prices
• Apr 24: 8.5: Integrating brownian motion
• Apr 25:(Homework 12)

• Apr 29: Derivatives of brownian motion (i.e. Ito calculcus) (LAST DAY OF CLASS)
• May 1:(Homework 13)
• May 12: 12:00 - 2:00 JMHH 365: Final exam