Math 5050: Stochastic Processes and Simulation II, Spring 2007
Time and place: 12:55--1:45 MWF in LCB 219.
Instructor: S. Ethier (Prof.), JWB 119, 581-6148, ethier@math.utah.edu. Office hours
are 3:05--3:55 MWF unless announced otherwise. Other times are available by
appointment.
Text: Essentials of Stochastic Processes by Rick Durrett (Springer, 1999). Available at amazon for $72.37. List of typos.
Prerequisite: Math 5040 or knowledge of Markov chains and martingales.
Topics covered: We will cover Poisson processes, continuous-time Markov chains, renewal theory, and Brownian motion.
Grades: There will be a midterm exam. There will be a final exam. Grades will be based on homework (30%), a project (20%), midterm exam (20%), and final exam (30%).
Assignment 1. Due Feb 21.
Assignment 2. Due March 16.
Assignment 3: Chapter 5 of Durrett: 4, 12, 14, 16, 18, 25, 26, 29, 31, 37.
Due April 16.