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Math/Stat 491 - Introduction to Stochastic Processes - Winter 2013
Math/Stat 491 will start with a short review
of conditioning. The main topics will be
Markov processes and martingales. Math 491
can be taken as a stand-alone course
on basic stochastic processes or as a foundation for
Math 480 `Stochastic Calculus for Option Pricing',
to be offered in Spring 2013.
- Time: MWF 11:30
- Room: CMU 326
- Instructor: Krzysztof Burdzy
- Office hours: Monday 10:30-11:20, Wednesday 3:30-4:20 or by appointment.
- Office: Padelford C-530, tel. 543-4297
- E-mail: burdzy@math.washington.edu
- Text:
Recommended: S. Ross Introduction to Probability Models (this will be
the main source of material on Markov processes)
Optional:
R. Durrett Essentials of Stochastic Processes,
Hoel, Port and Stone Introduction to Probability Theory ,
G. Lawler Introduction to Stochastic Processes,
S. Karlin and H. Taylor A First Course in Stochastic Processes,
S. Ross Stochastic Processes .
- Grading policy: HW 6%, Midterm I 27%, Midterm II 27%,
Final 40%.
Midterm I:
- Date: Friday, February 1
- Review (in class): Wednesday, January 30
- Material covered by Midterm I: conditional probability and
expectation, martingales
Midterm II:
- Date: Monday, February 25
- Review (in class): Friday, February 22
- Material covered by Midterm II: Markov chains:
classification of states, transience and recurrence,
limiting probabilities.
Final exam: 2:30-4:20 p.m.,
Wednesday, March 20, CMU 326 (the usual room)
- Comprehensive exam
- Review (in class): March 13 and 15 (Wednesday and Friday)
Rules and regulations
- Bring calculator with exponential and logarithm buttons
- Closed books, closed notes.
- One page of notes is OK.
- Handwritten
- Both sides OK
- Any size
Homework
| Textbook section
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Page |
Problems |
Date due |
| Ross (I) | 173 |
Choose 10 problems | January 14 |
| Ross (I) | 173 |
Choose another set of 10 problems | January 23 |
| Ross (SP) | 322 |
6.1, 6.2, 6.4, 6.7, 6.8 | January 28 |
| Karlin and Taylor | 325 |
2, 9, 10, 11, 13 | January 28 |
| Ross (SP) | 219 |
4.1, 4.2, 4.3, 4.5, 4.7 (hard!), 4.8 | February 11 |
| Ross (I) | 275 |
1 - 6, 8, 9, 14 - 17 | February 11 |
| Ross (I) | 275 |
18, 20, 22-26, 28-30 | February 20 |
| Ross (I) | 275 |
56 - 62 | March 4 |
| Karlin and Taylor | 325 |
1, 16, 17 (a), 18, 19 | |
| Durrett | 121 |
5.5, 5.7, 5.8, 5.14 | |
| Lawler | 105 |
5.12, 5.14 | |
| Ross (SP) | 322 |
6.10 | |
| Ross (I) | 275 |
67-72, 74-76 | March 13 |
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