Math 5040-1, University of Utah, Fall 2008
Stochastic Processes & Simulation: Course Syllabus
| Instructor: |
Davar Khoshnevisan (Contact Information |
Office Hours) |
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| Time/Place: | MWF 11:50 am-12:40 pm: LCB 121. |
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| Text: | Introduction to Stochastic Processes,
Gregory F. Lawler, Second Edition, Chapman & Hall, New York, 2006. |
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| Course Description: |
This is a senior/lower-graduate level course in probability theory.
Topics: Stochastic simulation; Discrete &
continuous Markov chains. They include:
- Random-number generation
- Finite Markov chains
- Countable Markov chains
- Continuous Markov chains
- Optimal stopping problems
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| Grading: |
Weekly assignments (50% total); one midterm (25%);
and one final exam (25%).
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| Homework: |
Posted weekly; see below.
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Additional lecture
notes |
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155 South 1400 East, Room 102, Salt Lake City, UT 84112-0090, Tel:+1 801 581 3896, Fax:+1 801 581 4148