Fall 2021 - Introduction to Stochastic Processes (STAT 462/662) - Course Website

Office Hours: TBA
Lectures: Tu/Th 12:00-1:15pm, WRB 2008

Syllabus: Click here to download (PDF)

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Announcements:
We will be using Canvas for all homework assignments. The weekly schedule will be updated here and on Canvas. Book sections refer to Ross unless otherwise indicated.

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Course Information

• Week 1: Aug 24, 26
  
  • Introduction and Review of Probability (Ch. 1-2): Lec 1-2
    
  • Homework 1 - due Tuesday Sept 7
  
  
• Week 2: Aug 31, Sept 2
  
  • Review of Conditional Probability (Ch. 3): Lec 3
    
  • Markov chains (Ch. 4, Section 4.1): Lec 4
    
  • Homework 2 - due Tuesday Sept 14
    
  
  
• Week 3: Sept 7, 9
  
  • Markov chains - Sections 3.3 (Pinsky/Karlin) and 4.2 (Ross): Lec 5, Lec 6
    
  • Homework 3 - due Tuesday Sept 21
    
  
  
• Week 4: Sept 14, 16
  
  • Markov chains - Sections 4.2-4.3: Lec 7, Lec 8
    
  
  
• Week 5: Sept 21, 23
  
  • Markov chains - Sections 4.3-4.4:
  
  
• Week 6: Sept 28, 30
  
  • Markov chains - Sections 4.4, 4.6
    
  
  
• Week 7: Oct 5, 7
  
  • Exam 1 (in class)
    
  • End of Ch. 4
    
  
  
• Week 8: Oct 12, 14
  
  • Poisson processes - Sections 5.1, 5.3
    
  
  
• Week 9: Oct 19, 21
  
  
  
• Week 10: Oct 26, 28
  
  
  
• Week 11: Nov 2, 4
  
  
  

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