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Introduction to Stochastic Processes MATH 6790 | Fall 2008

Introduction to Stochastic ProcessesMATH 6790 Fall 2008 Peter KramerAugust 25, 2008 InstructorPeter R. KramerOffice: Amos Eaton 310, (highly intermittent Stochastic response time)Office hours: Tuesdays 3-4 PM and Thursdays 4-5 PMWebsite: ~kramep/ and Thursdays, 12:00-1:50 PM in Carnegie 101 PrerequisitesFamiliarity with undergraduate level differential equations and linearalgebra. Some previous experience with probability theory is or 5 homework assignments, which will be posted on the coursewebsite, and a final exam. The first homework will be due on September course grade will be determined by a 70% weighting of homework anda 30% weighting of the final exam.

Karlin and Taylor, A First Course in Stochastic Processes, Second Edition: A rather advanced textbook with many interesting examples and a rather thorough theoretical development of …

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