| Meetings: TR 11:00-12:15, B115 Van Vleck |
| Instructor: Timo Seppäläinen |
| Office: 419 Van Vleck, Office Hours: Tuesdays after class and by appointment |
| Phone: 263-2812 |
| E-mail: seppalai@math.wisc.edu |
| Course homepage: http://www.math.wisc.edu/~seppalai/632home.html |
This is a course on basic stochastic processes. Mathematical prerequisites needed are calculus, linear algebra, and elementary probability. Our textbook is
Sidney Resnick: Adventures in Stochastic Processes. Birkhäuser.
Course Content. The course consists of Chapters 1-5 from Resnick's book. The main topics covered in these chapters are discrete-time Markov chains, renewal theory, Poisson point processes, and continuous-time Markov chains. Schedule: 6 weeks on Chapters 1 and 2, 5 weeks on Chapters 3 and 4, and the remaining time on Chapter 5.
Exams and Grades. Course grades will be based on homework (20%), two midterm exams (2x20%) and a final exam (40%). You can bring to the exams three sheets of formulas or whatever notes you want, but no calculators or other gadgets.
| Exam Dates. | Midterm I: | Tuesday, October 14, in class. | Covers Chapters 1 and 2. |
| Midterm II: | Tuesday, November 18, in class. | Covers Chapters 3 and 4. | |
| Final Exam: | Thursday, December 18, 12:25-2:25 PM. | Covers the entire course. |
Suggested Problems. The following is a list of exercises from Resnick's book that are suitable practice in addition to the homework. These exercises give you an idea of the level and scope of the course. There is plenty of repetition among the exercises so the list is not really as long as it seems.
| Chapter 1: | 1.2-1.3 1.5-1.9 1.14-1.15 1.17-1.19 1.23 1.28 |
| Chapter 2: | 2.3-2.5 2.8-2.18 2.23-2.32 2.35-2.37 2.41-2.50 2.52 2.54 2.63-2.66 2.68-2.77 |
| Chapter 3: | 3.1 3.3-3.4 3.7 3.10-3.12 3.18-3.21 3.32 3.45-3.47 3.54-3.57 |
| Chapter 4: | 4.1-4.5 4.8-4.10 4.12 4.15 4.31-4.33 4.42 4.44 4.48 |
| Chapter 5: | 5.7-5.11 5.14-5.16 5.19 5.22 5.30-5.32 5.35 5.40 5.46 5.76 5.80 5.81 |