STAT416/MATH416: Stochastic Modeling
Spring 2009: Jan 12 - May 8

Instructor:   Jia Li
417A Thomas Building, phone: 814-863-3074, email: jiali@stat.psu.edu
office hours: Mon 2:15pm-3:00pm, Wed 10:30am-11:50am, Fri 2:15-3:30pm, or by appointment

Teaching assistant:   Hyang Min Lee
Office: 331A Thomas Building, phone: 814-863-1772 email: hul145@psu.edu
office hours: Tuesday 9:30-11:00am, Thursday 9:30-11:00am

Lectures:   MWF 1:25-2:15pm     215 Thomas Building

Course homepage:   http://www.stat.psu.edu/~jiali/course/stat416 .

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, and the Poisson process and its variations. 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 proof-writing) is expected.

Textbooks:
Required: Introduction to Probability Models, 9th ed., by Sheldon Ross

Grading:

Exams:

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. 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.
  2. Homework is required to be submitted at the beginning of the class on Wednesday.
  3. Late homework will not be accepted, but one homework with the lowest score will not be included in the final evaluation.
  4. 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

  1. Introduction to probability theory (Chapter 1),   Week 1-2
  2. Random variables (Chapter 2),   Week 3-5
  3. Conditional probability and conditional expectation (Chapter 3),   Week 6-8
  4. Discrete-time Markov chain (Chapter 4),   Week 9-13
  5. Exponential distribution and the Poisson process (Chapter 5),   Week 13-16

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.

Lecture Dates, academic calendar

Homework

Lecture notes, homework hints, and solutions



------------- Updated on January 9, 2009 ---------------