Instructor:Sergei Kuznetsov, Math 318, Phone: 2-4579, E-mail: sek@euclid.Colorado.edu, Office Hours MWF 12-1.
Lectures: 3:00-3:50 MWF at ECCR 105
Text: S. Karlin and H. Taylor, A First Course in Stochastic Processes, 2nd Edition, Academic Press
Matherial to be covered: Most of Chapters 2 to 9. See a (very tentative) schedule below.
Prerequisites: Math 4510 (Basic Probability) or equivalent and, naturally, Calculus 1-2-3.
Homework Assignements: There will be 3 (small) homework assignements per week. The assignements and solutions will be posted here.
Exams and Grading: There will be a take home final exam. Grading policy: 70 % Homework + 30 % Final..
Very Tentative Schedule
| Week of | Sections | Comments |
| January 14 | 1.1 | Probability Review |
| January 21 | 1.2-1.4, 2.1-2.2 | Stochastic Processes & Examples |
| January 28 | 2.2-2.5 | Discrete Markov Chains |
| February 4 | 3.1-3.5, 3.7 | Limit Distributions for Markov Chains |
| February 11 | 4.1-4.6 | Continuous Markov Chains |
| February 18 | 4.8, 5.1-5.3 | More Chains; Renewal Processes |
| February 25 | 5.4-5.5 | More Renewal Processes |
| March 3 | 6.1-6.2 | Martingales |
| March 10 | 6.3-6.4 | More Martingales |
| March 17 | 6.5-6.6 | Convergence of Martingales |
| March 24 | Spring Break - No Classes | |
| March 31 | 7.1-7.3 | Brownian Motion |
| April 7 | 7.4-7.5, 7.7 | More BM |
| April 14 | 8.1-8.4 | Branching Processes |
| April 21 | 9.1-9.5 | Stationary Processes |
| April 28 | Supplements (if time permits) |
(Quite possibly, Chapter 8 will be discussed before Chapter 7).