Math 495

NEWS:

QUICK LINKS:

SAMPLE PROGRAMS:

Topics. Content varies with each offering of the course. Past offerings have included such topics as random walks, Markov chains, Gaussian processes, empirical processes, Markov jump processes, and a short introduction to martingales, Brownian motion and stochastic integrals.
Prerequisites. Math 318 (Calculus of Several Variables) and Math 493 (Probability), or permission of instructor.
Time. Classes meet Mondays and Wednesdays, 4:00 pm to 5:30 pm, in Duncker Hall room 101.
Text. The lectures will follow Gregory F. Lawler's textbook Introduction to Stochastic Processes, second edition, ISBN 9781584886518, Chapman and Hall/CRC, 2006.
Homework. You are encouraged to collaborate on homework and to work additional exercises from the indicated problem sections, although the homework grade will be based only on the exercises listed below. Please return your solutions to the instructor by the end of class. Problem sets will be assigned as follows:



Tests. There will be one midterm examination in class on
Wednesday, March 7th, 2018. No reference
material or electronic devices will be allowed.
There will be one cumulative
takehome final examination emphasizing the remaining
material, due on Friday, May 4th, 2018 by 8:00 pm in my
office, room 105a, Cupples I Hall.
Grading. One score will be assigned for homework, one for the midterm examination, and one for the final examination. These three will contribute in respective shares of HW 50%, MT 20%, and FE 30% to the course score. Letter grades, computed from the course score class average and standard deviation, will be at least the following:
Course score at least:  90%  80%  70%  60% 

Letter grade at least:  A  B  C  D 
Computing. Students are encouraged to use computers for both symbolic and numerical computations.
Office Hours. See me in Cupples I, room 105a, Mondays and Wednesdays after class, or by appointment.