Topics covered:
Course Hours and Room:
Instructor:
Unfortunately, Prof. Baernstein's doctors have placed him on a 45 day
Injured Reserved List.
In the meantime the course will be taught by:
Office Hours: Sawyer:
Links:
Textbook:
Homework:
Some of the exercises in the textbook will be recommended. These
are not to be handed in, but to learn the course material you need to do
them diligently. There will also be problem sets for you to hand in that
will be graded.
About the course:
An introduction to some of the most basic stochastic processes,
such as Markov chains and Markov pure jump processes. Students are
expected to learn how to do the computations and to achieve a
qualitative understanding of the concepts. You'll need a good
understanding of undergraduate probability theory at the level of Math
493, but do not need to know any measure theory.
Examinations and course grades:
There will be no exams. In lieu of a final exam, each student will
give a lecture or lectures at or near the end of the class on some topic
related to the course. Details and suggested topics will be supplied
later. Course grade will be mainly determined by performance on the
hand-in problem sets and the end-of-course lectures.
Additional reading:
The following books are on one-day reserve in the Math Library:
(The best references are (3) and (4).)
More elementary:
(1) E. Parzen, ``Modern probability theory and its applications'',
Chapter 3.6 (12 pages) (Quick once-over)
(2) J. Kemeny and L. Snell, ``Finite Markov Chains''
More detailed:
(3) S. Karlin, ``A first course in stochastic processes'',
Chapter 2. (This has many examples of Markov chains in genetics.
Detailed and well-written.)
(4) W. Feller, ``An introduction to probability theory and its
applications'', Volume I.
Chapter XIV (for gambler's ruin) and Chapter XV (Markov chains).
(Also detailed and well-written.)
Specifically for branching processes:
(5) T. E. Harris, ``The theory of branching processes'',
Springer-Verlag, 1963.
Click here for Albert Baernstein's home page:
Click here for Stanley Sawyer's home page:
Last modified February 26, 2003