Stat 416

Stochastic Modeling

Fall 2004

　

Instructor: Xiaojiang Zhan

330A Thomas Building

Phone: 865-3193

Email: xzhan@stat.psu.edu

Office hours: MW 2:20-3:20 pm

　

Teaching Assistant: Yiyun Zhang

301 Thomas Building

Phone: 863-2314

Email: yuz115@psu.edu

Office hours: T 3:30-4:30 pm Th 12:45-1:45 pm

　

Lectures: MWF 1:25-2:15 pm, 216 Thomas

　

Course homepage: http://www.stat.psu.edu/~xzhan/stat416/fall04

　

Course description:

This course is an introduction to the elementary theory of stochastic processes. It will focus on conditional probability and conditional expectation, Markov chains, and the Poisson process and its variations. There topics are covered in Chapter 3 to 6 in the text book. If time permits, more later chapters will also be discussed. We will review elementary probability theory corresponding to Chapter 1 and 2 in the text book, at the beginning of the course.

　

Textbook:

Required: Introduction to Probability Models (Eighth Edition) by Sheldon M. Ross

　

Grading:

Exams:

There are two in-class midterms and a final exam. Exam dates will be announced well before the exams. They will all be closed-book. You may bring a page of notes and a calculator. Makeup exams will not be given unless you provide a University-approved excuse.

　

Academic Integrity:  

All Penn State and Eberly College of Science policies regarding academic integrity apply to this course. See http://www.science.psu.edu/academic/Integrity/index.html for details.

　

Homework Assignments:

9/3/04 HW1: Chap 1: 3, 4, 5, 14, 38, 42, 44, 46. Due Wed, 9/8/04. HW1 solutions.

9/10/04 HW2: Chap 2: 9, 13, and 3 additional problems. Due Wed, 9/15/04. HW2 solutions.

9/17/04 HW3: Chap 2: 20 (refer to 17), 26, 33, 34, 54, and 2 additional problems. Due Mon, 9/27/04. HW3 solutions.

9/24/04 HW4: Chap 2: 61, 66, 67, 68, and 5 additional problems. Due Fri, 10/1/04. HW4 solutions: problems in the book & problems in the handout.

9/27/04 Study guide for Midterm 1, Score distribution of Midterm 1 and Midterm 1 solutions.

10/11/04 HW5: Chap 3: 5, 8 (see Example 3.13 for hints), 14, 15, 20, 31 (see Example 3.11 for hints), 41, 49. Due Wed, 10/20/04. HW5 Solutions.

10/22/04 HW6: Chap 4: 7, 8, 10, 14. Due Wed, 10/27/04. HW6 Solutions.

10/29/04 HW7: Chap 4: 18, 19, 24, 33. Due Wed, 11/3/04. HW7 Solutions.

11/8/04 HW8: Chap 4: 34, 52, 56, 57, 63, 64, 70. Due Mon, 11/15/04. HW8 Solutions.

11/17/04 Score distribution of Midterm 2.

11/22/04 HW9: Chap 5: 2, 6, 9, 15, 25, 26. Due Wed, 12/1/04. HW9 Solutions.

12/6/04 HW10 (Need not be handed in): Chap 5: 37, 38, 50, 58. HW10 Solutions.