Statistics 218: Stochastic Processes

MWF 1:15 - 2:05, RedwdG19

Office Hours: 142 Sequoia Hall, Monday 10:30-11:30 and Wednesday 11:30-12:30

Teaching Assistants:

The teachings assistants are Hua Zou: hwachou@stanford. Room 235 (not Room 108 that was previously indicated), phone 5-6162. Office hours Tuesday 11-12 and Friday 11-12; Jiarui Han: jrhan@stanford, Room 242, phone 5-5952. Office hours Tuesday and Thursday from 1:30-2:30.

Texts and background material

The required textbook is Stochastic Processes by Ross, published by Wiley.

Syllabus

• Some Basic Markov Chains, Branching Processes, Random Walks, Generating Functions
• Poisson Processes, Renewal Theory, Renewal Theorems, Regenerative Processes and applications
• Some Continuous Time Markov Chains, Birth and Death Processes, Queueing Systems
• Gaussian Processes and Brownian Motion
• Martingales, Basic Convergence Theorems, and applications
• Stationary Processes, Time Series, Prediction

Problem sets

• Problem Set 1: (Due Friday April 9) From the text: 1.23, 1.24, 1.31, 4.33, 4.34, 4.35. Solutions are Here
• Problem Set 2: (Due Friday April 16) Click Here Solutions are Here
• Problem Set 3: (Due Monday April 26) From the text: 6.9, 6.10, 6.22-25. Solutions are Here
• Problem Set 4: (Due Friday May 7) From the text: 7.3, 7.4, 8.1, 8.2, 8.5, 8.8. Solutions are Here
• Problem Set 5: (Due Friday May 14) From the text: 8.9-8.14. Solutions are Here
• Problem Set 6: (Due Monday May 24) Click Here Solutions are Here
• Problem Set 7: (Due Wednesday June 2) Click Here Solutions are Here

  Handouts

  • Handout 1: PDF