Math 495 - Stochastic Processes

Spring 2005

room meeting times
Eads 112 Mon Wed Fri 11:00 AM - 12:00 AM

instructor phone # office e-mail office hours
Renato Feres 5-6752 Cupples I 17 MWF 1:00 PM - 2:30 PM

Note: You can see me outside the set office hours, but contact me in advance to be sure I'm in.

Text: Introduction to Stochastic Processes, by Hoel, Port and Stone.

Homework and grades: The course work will consist of approximately 6 homework assignments, handed out (roughly) bi-weekly. Grades will be calculated based on your homework scores. The exact grade scale will not be decided till the end of the course. However, the final letter grade is guaranteed to be no harsher than the following:

Score Grade is at least (possibly with a + or - attached)
90-100% A
80-89.99% B
65-79.99% C
50-64.99% D
Below 50% NCR (F)

Topics: We plan to cover the following main topics.

Homework assignments and the due dates will be posted here. Problems will mostly be taken from the textbook.

Lecture notes: I will occasionally write notes to supplement the textbook. A pdf file will be posted here. I will let you know in class when there is an update that makes it worth reloading. Here is another set of notes I wrote for a more advanced course, which contains some useful material: Lecture notes for Math 545 (geometry and probability).

(Potentially) useful links: You might find some of these links useful (or not). They contain lecture notes and texts for stochastic processes and probability theory that can be freely downloaded, historical notes and other resources. I'll add to this list as I find other interesting Web pages. In any event, I will not rely on any of this material for the course. If you find other useful pages, let me know so that I can add to this list.

General probability and stochastic processes: Markov chains and random walks: Brownian motion, stochastic ODEs, diffusions: Applications: Probability applets, Matlab codes, etc.: Information theory and applications: Probability people and History: