Intro to Stochastic Processes, Math 4320

Fall 2009
Tu Th 1-2:30
PGH 348

Instructor:

Ilya Timofeyev
PGH 667
Email :

This page: http://www.math.uh.edu/~ilya/class/4320.html

Office Hours:

Wed 1-2 or by appointment


This will help: Some Useful Identities More Summation Identities

Homework

HW1 Due 9/15

HW2 Martingales Due 10/6
HW2 Due 10/6
HW3 Due 11/5
HW4 Due 11/24

Solution to Homework

Solution to HW2

Exams:

Exam I - 10/15
Exam II - 12/3

Text:

An Introduction to Stochastic Modeling, 3rd Ed.
Howard M. Taylor and Samuel Karlin
Academic Press

Syllabus

  • Short review of probability, Major discrete and continuous distributions, Properties of random Variables
  • Conditional probability, Sums of Random Variables, Martingales
  • Intro to Discrete Markov Chains - Transition Prob. Matrix, Some Examples, First Step Analysis, Various Types and Classifications of Markov Chains
  • Long Run (asymptotic) behavior of Markov Chains
  • Poisson Processes

    • Grading Policy and Assessment

    Midterm and Final exams will be given.
    Approximately 10 problems of homework will be given every two weeks.

    Midterm: 25%
    Final: 25%
    Homework: 50%

    A: 90 - 100
    B: 80 - 90
    C: 65 - 80
    D: 50 - 65

    Ilya Timofeyev
    Last modified: Wed Nov 11 13:27:07 CST 2009