Introduction to Stochastic Processes (STAT217, Winter 2001)

The first of two quarters exploring the rich theory of stochastic processes and some of its many applications. Main topics are discrete and continuous Markov chains, point processes, random walks, branching processes and the analysis of their limiting behavior.

The spring quarter (Stat218) is to concentrate on renewal theory, Brownian motion, Gaussian processes and martingales (Ch. VII-VIII of text and supplements).

Prerequisites: If you have not taken a probability course at the level of Stat116/Math151, you need instructor's permission for taking Stat217 for credit. Chapters I-II.4 of text contain the material assumed to be known.

Text: Taylor, Karlin, An Introduction to Stochastic Modeling, 3rd edition (Ch. III-VI).

Alternative texts:

Meeting: CERAS (School of Education) 304, TTh 11:00 - 12:30.

Instructor: Amir Dembo, TTh 12:30-1:30 Stat. 129 (725-2237), or e-mail

TA1 (grading HW1,HW4,HW7): Haiyan Liu, Stat. 242 (725-5952), office hours M 3:00-6:00; e-mail

TA2 (grading HW2,HW5,Practice-Final): Illya Targoniy, Stat. 208 (725-6148), office hours F 2:30-5:30; e-mail

TA3 (grading HW3,HW6,HW8): Ery Castro, Stat. 141 (725-2223), office hours M 9:00-10:00, Tu 8:55-10:55; e-mail

Grading : Judgement based on Final exam mark (75%), and on Homework efforts (25%).

Final : Monday 3/19, 3:30-6:30pm, open material, in the class room ( solution/ pdf ). See also ( Practice-Final/ pdf ).

Homework: Homework problems due Tuesday 12:30 p.m., on a weekly basis; HW1 ( pdf ), due 1/16 (solution/ pdf) , HW2 ( pdf ), due 1/23 (solution/ pdf) , HW3 ( pdf ), due 1/30 (solution/ pdf) , HW4 ( pdf ), due 2/6 (solution/ pdf) , HW5 ( pdf ), due 2/13 (Corrected solution/ ( pdf ), HW6 ( pdf ), due 2/20 (solution/ ( pdf ), HW7 ( pdf ), due 2/27 (solution/ ( pdf ), HW8 ( pdf ), due 3/13 (Posted solution/ ( pdf ). Please deliver your assignment to the course mailbox (marked "STAT 217") in 2nd floor of Sequoia Hall, or to class, the day it is due. Late homework will not be accepted. Your assignment will typically be returned in class by the following Tuesday and placed thereafter in the mailbox marked "STAT 217 graded". Graded HW8 shall be returned on class, March 15th.

Syllabus (out of Taylor-Karlin Ch. III-VI).

	1/9        Tu(III.1/III.5/III.3)     Th(III.2)
	1/16       Tu(IV.3)                  Th(III.4)
	1/23       Tu(III.6.1+supplements)   Th(---)
	1/30       Tu(IV.4+supplements)      Th(IV.1,IV.5)
	2/6        Tu(IV.2)                  Th(VI.1-VI.3)
	2/13       Tu(VI.1-VI.3)             Th(V.1/V.3)
	2/20       Tu(V.2/V.4/V.5)           Th(VI.4-VI.6)
	2/27       Tu(supplements)           Th(III.8/III.9)
	3/6        Tu(---)                   Th(TA:Practice-Final)
	3/13       Tu(Review)                Th(Review)

Syllabus (out of Hoel-Port-Stone Ch. 1-3).

	1/9        Tu(1.1-1.3)               Th(1.4+supplements)
	1/16       Tu(1.5-1.6)               Th(1.6.1+supplements)
	1/23       Tu(1.7-2.1)               Th(---)
	1/30       Tu(2.2-2.3)               Th(2.4-2.5.1)
	2/6        Tu(2.7-2.8)               Th(3.1-3.2)
	2/13       Tu(3.2.1-3.2.2)           Th(3.2.3-3.2.4)
	2/20       Tu(supplements)           Th(3.3-3.3.1)
	2/27       Tu(1.8/1.9)               Th(2.6+supplements)
	3/6        Tu(---)                   Th(TA:Practice-Final)
	3/13       Tu(Review)                Th(Review)

Material covered this quarter, including HWs and self-reading: