The official course description is succinct and clear: Theory and applications of random processes, including Markov chains, Poisson processes, birth-and-death processes, random walks.
MTH 202 is the sequel to MTH 201, Intro to Probability. In MTH 201, we studied the basics of probability theory like random variables and probability distributions. In this course, we will study random variables that have an additional time parameter; i.e., a stochastic process. We will primarily study a canonical discrete-time stochastic process called a Markov chain. Markov chains appear in many fields of science like physics, biology and economics. The theory will be supplemented by examples from these fields. Some examples of Markov chains and processes that we will study include Poisson processes, birth-and-death processes, random walks and queues. Time permitting, we will briefly touch upon the theory of martingales and Brownian motion. The course will not be mathematically rigorous, but we will give short proofs whenever they’re illuminating.
Arjun Krishnan
2:00pm - 3.15pm Tuesdays and Thursdays in Meliora 318
Mandatory:
Introduction to Stochastic Processes, by Gregory F. Lawler..
I do not recommend getting a pirated copy from sci-hub. There are a few copies on reserve at Carlson Library.
Additional reading:
| Homework | 30% |
| Midterm | 30% |
| Final | 40% |
Midterm I: Thursday Mar 8, 2018. In class.
Final: Thursday May 10, 2018. 4-7pm, Meliora 218/
All assignments and activities associated with this course must be performed in accordance with the University of Rochester’s Academic Honesty Policy. More information is available at: www.rochester.edu/college/honesty. This resource is great, and has a great FAQ section. There are some fairly scary policies. For example, if you’re found cheating, the instructor is required to report you. I intend to follow this policy.
In this class, you may freely discuss homework with each other. But your work must be your own, and you may not copy someone else’s answers. If I decide to put you in groups, then your group may submit one homework.
If you are having difficulty seek help immediately - do not wait until it is too late to recover from falling behind. There are several avenues for you to get help and ask questions, outside of lecture:
Attend instructor office hours or schedule an appointment to meet with your instructor.
Attend MTH 201 study hall. Math study hall is in Hylan 1104 Mon-Thurs from 5-8pm. Study hall is run by graduate students who you can approach for help.
There are also resources in the math department and at the university level.
The University of Rochester respects and welcomes students of all backgrounds and abilities. In the event you encounter any barrier(s) to full participation in this course due to the impact of disability, please contact the Office of Disability Resources. The access coordinators in the Office of Disability Resources can meet with you to discuss the barriers you are experiencing and explain the eligibility process for establishing academic accommodations. You can reach the Office of Disability Resources at: (585)275-9049; 1-154 Dewey Hall. Or, visit Center for Excellence in Teaching and Learning.
To be granted alternate testing accommodations, you must fill out forms with CETL at least seven days before each and every exam. These forms are not sent automatically.