Download Stat 416.1 Stochastic Modeling

STAT416/MATH416: Stochastic Modeling
Spring 2015: Jan 12 - May 1
Instructor: Jia Li 417A Thomas Building, phone: 814-8633074, email: [email protected] office hours: Mon 2:15pm3:00pm, Wed 2:15-3:00pm, or by appointment
Teaching assistant: Songshan Yang Office: 301 Thomas
Building, Phone: 814-863-2314, Email: [email protected] Office
hours: Tuesday & Thursday 2:45-4:00pm
Lectures: MWF 1:25-2:15pm
322 HHD East
Course homepage: http://www.stat.psu.edu/~jiali/course/stat416
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Description of the course: Introduction to the elementary theory
of stochastic processes. The course will be focused on conditional
probability and conditional expectation, Markov chains, the
Poisson process and its variations, continuous-time Markov chain
including birth and death processes. These topics are covered by
Chapter 3 to 6 in the text book. We will briefly review elementary
probability, which corresponds to Chapter 1 and 2 in the text book,
at the beginning of the course. Prerequisites: Math 230
(calculus) and Stat 414, or Stat 318 (elementary probability). A fair
amount of mathematical expertise (analytical thinking and proofwriting) is expected.
Textbooks:
Required: Introduction to Probability Models, 11th
ed., by Sheldon Ross
Grading:
• Homeworks: 10%
• Two midterms: 40%
• Final exam: 50%
Exams:
• Midterm 1: TBD & Midterm 2: TBD
• Final: TBD
Note:
1.
Dates are subject to potential changes, but will be announced
well before the exams.
2.
Exams will all be closed book.
3.
For midterm, you can bring a one-sided fact sheet no larger
than 8.5x11 inches; for final, a two-sided fact sheet no larger
than 8.5x11 inches is allowed.
4.
Makeup exams are permitted only for very exceptional cases;
and verifiable reasons are required for such exceptions.
Students who need makeup exams should plan early and let
me know at least a week ahead of time. A written notice is
required.
Homeworks:
1.
2.
3.
4.
Starting from the second week, homework will be assigned
almost every week on Wednesday and is due on Wednesday
in the following week, unless specially noticed.
Homework is required to be submitted at the beginning of the
class on Wednesday.
Late homework will not be accepted, but one homework with
the lowest score will not be included in the final evaluation.
Discussion on homework is encouraged. However, each
student must turn in his/her own written work that reflects
his/her own understanding of the material. It is a violation of
course policy to copy solutions from others, textbooks,
Websites, or previous instances of this course.
Topics
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Introduction to probability theory (Chapter 1), Week 1-2
Random variables (Chapter 2), Week 3-5
Conditional probability and conditional expectation (Chapter
3), Week 6-8
Discrete-time Markov chain (Chapter 4), Week 9-13
Exponential distribution and the Poisson process (Chapter
5), Week 13-15
Continuous-time Markov chain, birth and death processes
(Chapter 6), Week 15-16
Academic Integrity:
All Penn State and Eberly College of
Science policies regarding academic integrity apply to this course.
See http://science.psu.edu/current-students/Integrity/Policy.html
for details.