I N T R O. T O S T O C H A S T I C P R O C E S S E S - S P R I N G 2 0 1 7

LECTURES: Tuesday, Thursday 9:30am-10:45am, in CAS 313.

DISCUSSION: These will be used for going over lecture material and assignments in a way that is less structured than the lectures. Attendence of discussions is highly recommended.

Section A2: Wednesday 3:35pm-4:25pm, in PSY B40.

Section A3, Wednesday 4:40pm-5:30pm, in CAS 323B.

Section A4, Tuesday 12:30pm-1:20pm, in PSY B43.

Section A5, Tuesday 3:35pm-4:25pm, in COM 217.

NOTES FROM DISCUSSION SESSIONS: Below are some notes by Jia about the exercises and problem treated during some of the discussion sessions. Many thanks to Jia for providing these.

[Discussion notes 1]

[Discussion notes 2]

[Discussion notes 3]

INSTRUCTOR: Solesne Bourguin, office hours on Tuesday, Thursday 11:30am-12:30pm (my office is MCS 226).

TEACHING FELLOW: Jia Yang (jiayang@bu.edu) in MCS 149C. Her office hours are on Tuesday 4:30pm-5:30pm and Wednesday 1:30pm-2:30pm. She will also do an additional tutoring hour on Wednesday 2:30pm-3:30pm. Don't hesitate to contact her if you have questions.

GRADER: Huaiyu Hu (huaiyu@bu.edu) in MCS B42. Her office hours are on Tuesday 2:00pm-3:00pm and Thursday 12:30pm-1:30pm. Don't hesitate to contact her if you have questions related to grading.

PREREQUISITES: CAS MA581, CAS MA381 or consent of instructor. The students are required to
have a solid understanding of basic probability and calculus.

COURSE DESCRIPTION:
Basic probabilistic problems and methods in operations research and
management science. Methods of problem formulation and solution. The course will cover basic
stochastic processes such as simple random walks, Markov chains, martingales, Poisson processes,
and Brownian motion.

REQUIRED TEXTBOOK: An Introduction to Stochastic Modeling, 4th Edition, by Mark Pinsky and Samuel Karlin, Academic Press 2010.

RECOMMENDED TEXTBOOK: A First Course in Stochastic Processes, 2nd Edition, by Howard M. Taylor and Samuel Karlin, Academic Press 1975.

GRADING: problem sets (30%), midterm exam (30%) and a final exam (40%).

HOMEWORK: Every Thursday for the next Thursday. Needless to say, you should work on the homework on your own, unless otherwise instructed.
The lowest homework grade will be dropped if you participate in class. Late homeworks will not be accepted at all. See table below for assignments and due dates.

SCHEDULE OF EXAMS: **The midterm exam will be held on Thursday, March 2nd from 9:30am to 10:30am** and will cover all that has been done up to Thursday, February 23rd included. **The (cumulative) final exam will be held on Tuesday, May 9th from 9:00am to 11:00am in CAS 313** and will cover everything that has been done during the entire course.

MAKE-UP EXAMS POLICY: Make up exams will be given only in extreme circumstances, and only when
accompanied by appropriate documentation. Any student with a valid reason to be given a make up
exam must contact me prior to the exam, either by email or in person, and present documentation
at the next class session attended.

EXAM REVIEW: These are the final exam review and a solution presented in class on 05/02/2017.

[Final exam review], [Solution to the final exam review]

PROBLEM SETS: The following table summarizes the homework assignments (to be found in the exercises and problems sections of the textbook) and due dates (due in class, not in my office or mailbox). **Please staple your homework sets to keep loose pages from getting lost**. **Make sure you use the correct edition of the book (4th edition) as exercises are not the same in all editions**.

Table of homework assignments | ||||
---|---|---|---|---|

Homework | Assignment | Due date | ||

HW #1 | Exercises: 2.1.5, 2.3.1, 2.3.5. Problems: 2.1.1, 2.1.7, 2.3.3. |
Thursday, February 2nd | ||

HW #2 | Exercises: 2.4.5, 3.3.2. Problems: 2.4.3, 2.4.7, 2.5.1, 2.5.3, 3.2.4, 3.3.8. |
Thursday, February 9th | ||

HW #3 | Exercises: 3.4.3, 3.4.7. Problems: 3.4.5, 3.4.6, 3.4.17. |
Thursday, February 16th | ||

HW #4 | Exercises: 3.5.2, 3.6.4. Problems: 3.5.2, 3.5.5, 3.6.7, 3.6.8. |
Thursday, February 23rd | ||

HW #5 | Exercises: 3.8.1, 4.1.3, 4.1.4, 4.1.10. Problems: 3.8.3, 4.1.5, 4.1.6, 4.1.10. |
Thursday, March 2nd | ||

HW #6 | Exercises: 4.3.1, 4.3.2. Problems: 4.2.3, 4.3.2. |
Thursday, March 23rd | ||

HW #7 | Exercises: 4.4.2, 5.1.1, 5.1.4, 5.1.6. Problems: 4.4.1, 4.4.7, 5.1.6, 5.1.7, 5.1.10. |
Thursday, March 30th | ||

HW #8 | Exercises: 5.3.8, 5.4.5. Problems: 5.2.1, 5.3.3, 5.3.10, 5.4.4, 5.4.6. |
Thursday, April 6th | ||

HW #9 | Exercises: 5.5.1, 6.1.3, 6.1.5. Problems: 5.5.4, 5.6.10, 6.1.3, 6.1.4, 6.1.5, 6.1.8. |
Thursday, April 13th | ||

HW #10 | Exercises: 6.3.1, 6.4.1, 6.4.5. Problems: 6.2.2, 6.3.1, 6.3.2, 6.4.2, 6.4.5. |
Thursday, April 20th | ||

HW #11 | Exercises: 8.1.2, 8.1.5. Problems: 6.5.2, 8.1.3, 8.2.4, 8.3.3. |
Thursday, April 27th |