MENU: Probability and Stochastic Processes (311-1-51)

Instructors

Benjamin Weinkove
847 4915587
Lunt Hall 310 2033 Sheridan Road

Meeting Info

Lunt Hall 104: Mon, Wed, Fri 11:00AM - 11:50AM

Overview of class

Probability and Stochastic Processes is a three-quarter sequence in probability and stochastic processes requiring background in calculus but not measure theory. The first quarter is a careful introduction to probability spaces, random variables, independence, distributions, and generating functions culminating in the Central Limit Theorem. The second and third quarters largely concern stochastic processes, including discrete and continuous-time Markov chains, Markov Chain Monte Carlo methods, martingales, and diffusion processes. We will use the software package R for simulations (no prior knowledge of R is required.) This sequence covers more topics at a faster pace, and in greater depth than 310-1,2,3. Prerequisite: Math 291-3 or (234 and 300); or Department Consent. Math 320-1 or Math 321-1 recommended.

Class Materials (Required)

978-0486466286
Basic Probability Theory
Author: Ash
Publisher: Dover

Class Materials (Suggested)

No suggested materials, see required materials

Class Attributes

Formal Studies Distro Area

Enrollment Requirements

Enrollment Requirements: Prerequisite: Students must have completed MATH 291-3; or MATH 300-0 and MATH 290-3 (or equivalent). Other students may register with consent of the department.

Associated Classes

DIS - Lunt Hall 104: Tues 11:00AM - 11:50AM