MATH 697U: Introduction to Stochastic Processes, Spring 2010

Meeting : MWF 10:10--11:00    LGRT 123

Instructor : Luc Rey-Bellet

Office :  1423 J LGRT
Phone :  545-6020
E-Mail : luc <at>
Office Hours :   Monday 2:00--3:15,   Wednesday 2:30--4:00,   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. We present general concepts and techniques of the the theory of stochastic processes in particular Markov chains in discrete and continuous time. We emphasize examples from various disciplines, for example branching processes, queueing systems, population models, 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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