Stochastic Processes

• Math 554 -- Spring 2006
• MWF 1:10-2pm -- Carver 150

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• Sunder Sethuraman
• 430 Carver Hall
• Office Hours MWF 9-9:50am, or by appointment
• (515) 294-8140
• sethuram@iastate.edu

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• Text: R. Schinazi, Classical and Spatial Stochastic Processes
• Chapters covered: 1-3, and perhaps 2 chapters from 4-7
• Evaluation: Biweekly homework assignments, and possibly a midterm, computer project, and final exam

• References
• Introduction to Stochastic Processes, Hoel-Port-Stone
• Essentials of Stochastic Processes, R. Durrett
• Adventures in Stochastic Processes, S. Resnick
• Finite Markov Chains and Algorithmic Applications, Haggstrom

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Topics covered

• Discrete time Markov chains
• Martingales
• Poisson Processes
• Continuous time Markov chains
• Percolation
• Branching RW’s, and other advanced topics

Pace and scope will depend on class interests.

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HW 1: Schinazi I.2.2, I.2.4

HW 2 (pdf)

HW 3 (pdf)

HW 4 (pdf)

HW 5 (word)

Computer Project (pdf)

HW 6 (pdf)

HW 7 (pdf)