MATH 697U: Introduction to Stochastic Processes, Fall 2014

Meeting : TuTh 8:30--9:45    LGRT 123

Instructor : Luc Rey-Bellet

Office :  1423 J LGRT
Phone :  545-6020
E-Mail : luc <at>
Office Hours :   Mo 11:00--12:30,   Th 11:00--12:30,   or by appointment.

Classnotes Ch1--Ch2

Text: Introduction to Stochastic Processes, 2nd edition (2007) by Gregory F. Lawler, Chapman&Hall.

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Syllabus: This course is an introduction to stochastic processes and Monte-Carlo methods. Prerequisite are a good knowledge of calculus and elementary probability as in Stat 515 or Stat 607. And we will use from time to time some more advanced concepts from analysis and linear algebra. One of the main goal in the class is to develop a "probabilist intuition and way of thinking". We will present some proofs and we will skip some others in order to provide a reasonably broad range of topics, concepts and techniques. We emphasize examples both in discrete and continuous time from a wide range of disciplines, for example branching processes, queueing systems, population models, chemical reaction networks and so on. We will also discuss the numerical implementation of Markov chains and discuss the basics of Monte-Carlo algorithms. Among the topics treated in the class are

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