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Jinho Baik

530 Church Street
Dept. of Mathematics
University of Michigan Ann Arbor, MI 48109-1043

Office: 4071 East Hall
email: lastname at umich edu
Tel: (734) 763-2150
Fax: (734) 763-0937

2009 Winter: Math/Stats 526

Discrete State Stochastic Processes

Final Exam: April 29 (Wed.), 4:10-6:00pm at 1360EH.

Office Hours: 4/27 (Mon.) 2-3, 4/28 (Tue.) 10:30-2:30.

HW10 (Do Not hand in) Solution10

HW9 (due Tuesday 4/21) Solution9

HW8 New version (due Thursday 4/9) Solution8

HW7 (Do Not hand in) Solution7

HW6 (due Tuesday, 3/17) Solution6

HW5 (due Tuesday, 3/10) Solution5

HW4 (Do Not hand in) Solution4

HW3 (due Tuesday, 2/10) Solution3

HW2 (due Tuesday, 2/3) Solution2

HW1 (due Tuesday, 1/20)

Office Hours: see above

Session 001: TTh 10:10-11:30 at 1360 East Hall

Session 002: TTh 11:40-1:00 at 1068 East Hall

This course is a thorough introduction to stochastic processes, the "dynamical part" of probability theory at an introductory graduate/upper senior level. This is one of the core courses for the Applied and Interdisciplinary Mathematics graduate program. This is the second half of the MATH/STATS 525-526 sequence. The emphasis will be on the fundamental concepts and proofs, and many examples will be discussed.

Prerequisites: Basic Probability (525), Linear Algebra, Differential Equations, 450 or 451 (Advanced Calculus).

Texts: (optional)

  1. Gregory Lawler, Introduction to Stochastic Processes, 2nd edition, Chapman & Hall/CRC, 2006.
  2. G. Grimmett and D. Stirzaker, Probability and Random Processes, 3rd edition, Oxford University Press, 2001.
  3. S. Karlin and H. Taylor, A First Course in Stochastic Processes, 2nd edition, Academic Press, 1975.
  4. S. Ross, Introduction to Probability Models, Academic Press .

Topics to be covered: finite Markov chains, countable Markov chains, continuous-time Markov chains, margingales, Brownian motion, ...

Homework: Roughly one homework set per week

Exams: two midterm exams and one final exam

Grading: homework (20%), first midterm exam (25%), second midterm exam (25%), final exam (30%)

Final Exam: April 29th, 4:10-6pm