Stat 184, Fall 2000
TTH 9:30-10:45, New West 104
Homepage: http://www.stat.unc.edu/faculty/cji/184.html
Instructor: Chuanshu Ji, New West 201,
962-3917, cji@stat.unc.edu
(or cji@email.unc.edu)
Office hours: walk-in service whenever I am available
Grader: Hyemi Choi, New West 107,
962-5707, hchoi@email.unc.edu
Grade: Midterm Exam = 20%, Homework = 30%,
Final Exam = 50%
Exams:
Text: ``Essentials of Stochastic Processes'' by
Rick Durrett, 1999 Springer-Verlag
Homeworks:
See the assignment list. Due dates to be announced in class.
No late homeworks to be accepted.
To help the grader's job and receive credit on your homework, you
need to show your work neatly, label each problem clearly,
and staple the entire assignment together in the correct
order with your name printed on every page. Only some problems
will be graded but solutions to all assigned problems
will be provided.
Reference books:
- ``Introduction to Stochastic Processes'' by Greg Lawler,
1995, Chapman & Hall
- ``Stochastic Processes'' (2nd edition) by Sheldon Ross, 1996 Wiley
- ``Markov Chains'' by Pierre Bremaud, 1998 Springer
- ``Adventures in Stochastic Processes'' by Sid Resnick, 1992 Birkhauser
- ``Probability and Random Processes'' by G.R. Grimmett and D.R.
Stirzaker, 1992 Clarendon Press
- Other books: Karlin and Taylor, Feller, etc.
Course description: (to be updated and revised as we proceed)
This course is designed for 1st- or 2nd-year graduate students to learn
basic models of stochastic processes and related techniques.
Probabilistic intuition, mathematical arguments
and some simple Monte Carlo simulation will be mixed in the course
development. You can choose your favorite software to do the
simulation, but need to summarize your simulation results clearly.
Here is a tentative list of sections in Durrett's book which
may be omitted or taught later in the course if time permits:
1.8, 3.6, 4.5 -- 4.7, 5.1 -- 5.4