General information

• The target goals are here.
• Stat lab JHH-F96: Basically M-F, 2 - 6?,
• Office hours: Monday at 3 (Huntsman 472). Or email me for an appointment.
• TA: Alexander Braunstein. Office hours W 2:30-4:00. (Homework due Thursdays).
• 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

• Turned in at the start of class

Schedule from previous year: dates to be changed

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

• Jan 20: Section 2.5: Martingales (I'll also take questions about HW1) (Read: pp 60-61, and 87 - 93)
• Jan 22: Markov chains 1 (p 95 - 102)

• Jan 27: Markov chains 2 (p 105-112)
• Jan 29: Markov: First step analysis (p 116 - 124) HW 1 due

• Feb 3: Markov: examples (p 135 - 147)
• Feb 5:Markov: Random walks (141 - 166) Homework 2 due

• Feb 10: Markov: Random walks
• Feb 12: (Darwin's 200th: Examples from evolution) Homework 3 due

• Feb 17: Branching processes (III.8)
• Feb 19: ABACADABRARA and martingales (III.7) Homework 4 due

• Feb 24: III 7: first step revisited
• Feb 26: Midterm (Review questions) Homework 5 due

• Mar 3: Chapter IV: Long run behavior of Markov chains (coupling argument)
• Mar 5: IV.2: Models
• Mar 7: Homework due (Homework 6) (answer to 2008 exam)

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

• Mar 17: Guest lecture: Michael Steele, a 2nd look at stationary distributions
• Mar 19: V.1: The poisson distribution (V.1 and V.2) (lecture notes)

• Mar 24: V.2: Rare events(Homework 7) (V.3 and V.4 up to page 305)
• Mar 27: V.3: Gamma Homework 8 law of large number.jmp

• Mar 31: V.4: connection to uniform distribution
• Apr 2: Chapter 6: Continuous time Markov chains ( read VI.4 and VI.5)(Homework 9)

• Apr 7: Chapter 6.2, 6.3: Birth / Death processes ( finish reading VI.1-5)
• Apr 9: Chapter 8:Brownian motion(Homework 10)
  • construction of a brownian motion

• Apr 14: 8.2: Reflection
• Apr 16: 8.2 continued (Homework 11)

• Apr 21: 8.3: Models
• Apr 23: 8.4: Drift and stock prices (Homework 12)

• Apr 28: 8.5: Integrating brownian motion / Derivatives of brownian motion (i.e. Ito calculcus) (LAST DAY OF CLASS)
• May 1:(Homework 13)
• May 8: 9:00 - 11:00 JMHH F45: Final exam