MA 583 2019 SUMMER II

MA 583 Introduction to Stochastic Processes

Basic Information

Instructor: Jingwei MA
Email: majw AT bu DOT edu
Office Hours: Wed. 2pm - 5pm or by appointment
Time: July 1-August 8, Mon./Tues./Wed./Thurs. 9-11 am
Location: COM 217
Syllabus

Date	Contents
Jul. 1 Mon	Conditional Probability and Conditional Expectations I
Date	Contents
Jul. 2 Tue	Conditional Probability and Conditional Expectations II Please Note that there're two types of questions in textbook: Exercise and Problem !! ONLY homework for credit needs to be submitted !! Homework 1 for Practice Exercise 2.1.5 2.1.6 2.3.5 2.4.4 2.4.5 2.5.3 Homework 1 for Credits DUE: July 8th Monday Problem 2.1.3 2.3.4 2.4.7 2.4.8 2.5.4
Jul. 3 Wed	Martingales and Introduction to Markov Chains
Jul. 8 Mon	Introduction to Markov Chains II Homework 2 for Practice Exercise 3.1.2 3.2.2 3.2.4 3.3.2 3.3.3 Homework 2 for Credits DUE: July 12th Friday Problem 2.5.5 3.1.4 3.2.4 3.3.5 3.3.8
Jul. 9 Tue	First Step Analysis
Jul. 10 Wed	Some Special Markov Chains Homework 3 for Practice Exercise 3.4.6 3.4.3 3.5.4 Homework 3 for Credits DUE: July 12th Friday Problem 3.4.6 3.4.17 3.5.5
Jul. 11 Thu	Some Special Markov Chains II
Jul. 12 Fri	Regular Markov Chains Homework 4 for Practice Exercise 3.5.6 3.5.9 4.1.3 4.1.5 Homework 4 for Credits DUE: July 18th Thursday Problem 3.5.2 3.5.4 4.1.5 4.1.6 4.1.7
Jul. 15 Mon	Regular matrix and Communication between states
Jul. 16 Tue	Irreduciblity, Periodicity and Recurrence Homework 5 for Practice Exercise 4.2.5 4.3.4 Homework 5 for Credits DUE: July 18th Thursday Problem 4.1.13 4.2.3 4.3.3 Exercise 4.3.1 4.3.2
Jul. 17 Wed	Recurrence and Basic Limit Theorem of Markov Chain
Jul. 18 Thu	Basic Limit Theorem of Markov Chain and Midterm Review Homework 6 for Practice Exercise 4.4.1 4.4.2 Homework 6 for Credits DUE: July 25th Thursday Problem 4.4.1 4.4.5 4.4.6 4.4.8
Jul. 22 Mon	Midterm Exam
Jul. 23 Tue	Poisson Process and Law of Rare Events
Jul. 24 Wed	Alternative Way to define Poisson Process
Jul. 25 Thu	Distributions Associated with Poisson Process, Spatial Poisson Process Homework 7 for Practice Exercise 5.2.2 5.3.2 5.3.5 5.4.3 5.4.4 5.5.3 Homework 7 for Credits DUE: August 1st Thursday Problem 5.1.10 5.3.3 5.3.10 5.4.4 5.4.7
Jul. 29 Mon	Pure Birth Process and Pure Death Process
Jul. 30 Tue	Birth and Death Process Homework 8 for Practice Exercise 6.1.2 6.1.4 6.3.1 Homework 8 for Credits DUE: August 1st Thursday Problem 6.1.3 6.1.5 6.2.4 6.2.6 6.3.1
Jul. 31 Wed	Long-time Behavior of Birth and Death Process
Aug. 1 Thu	Birth and Death Process and Introduction to Brownian Motion Homework 9 for Practice Exercise 6.4.5 8.1.3 Homework 9 for Credits DUE: August 6th Tuesday Problem 6.4.5 6.5.2 8.1.7 8.1.4 Exercise 8.1.5
Aug. 5 Mon	Brownian Motion
Aug. 6 Tue	Variations of Brownian Motion Supplemental Homework Problem 8.2.4 8.3.1

Instructor: Jingwei MA

Email: majw AT bu DOT edu

Office Hours: Wed. 2pm - 5pm or by appointment

Time: July 1-August 8, Mon./Tues./Wed./Thurs. 9-11 am

Location: COM 217

Syllabus