STATS 526 - Discrete State Stochastic Processes
Section: 001
Term: FA 2008
Subject: Statistics (STATS)
Department: LSA Statistics
Requirements & Distribution:
Waitlist Capacity:
Advisory Prerequisites:
MATH 525 or STATS 525 or EECS 501.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
May not be repeated for credit.
Primary Instructor:

Background and Goals: The theory of stochastic processes is concerned with systems which change in accordance with probability laws. It can be regarded as the 'dynamic' part of statistic theory. Many applications occur in physics, engineering, computer sciences, economics, financial mathematics and biological sciences, as well as in other branches of mathematical analysis such as partial differential equations. The purpose of this course is to provide an introduction to the many specialized treatise on stochastic processes. Most of this course is on discrete state spaces. It is a second course in probability which should be of interest to students of mathematics and statistics as well as students from other disciplines in which stochastic processes have found significant applications. Special efforts will be made to attract and interest students in the rich diversity of applications of stochastic processes and to make them aware of the relevance and importance of the mathematical subtleties underlying stochastic processes. Content: The material is divided between discrete and continuous time processes. In both, a general theory is developed and detailed study is made of some special classes of processes and their applications. Some specific topics include generating functions; recurrent events and the renewal theorem; random walks; Markov chains; limit theorems; Markov chains in continuous time with emphasis on birth and death processes and queueing theory; an introduction to Brownian motion; stationary processes and martingales. Significant applications will be an important feature of the course. Coursework: weekly or biweekly problem sets and a midterm exam will each count for 30% of the grade. The final will count for 40%.

STATS 526 - Discrete State Stochastic Processes
Schedule Listing
001 (LEC)
TuTh 11:30AM - 1:00PM
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