Instructor: Dmitry Dolgopyat
Time: MW 5 -- 6:15. Room: Math B0429

Topics. Basic concepts of stochastic processes. Renewal processes and random walks, fluctuation theory. Stationary processes, spectral analysis. Markov chains and processes (discrete and continuous parameters.) Birth and death processes, diffusion processes.

Text. G. Grimmett and D. Stirzaker Probability and Random Processes, 3d edition.
Coverage: Chapters 6, 8, 9, 10 and selected sections from Chapters 5, 11 and 13 (tentative).

Grading:

• The total of homework scores will count 25% towards your semester grade. Homework will be assigned about every other week. Not all of the problems assigned will be graded. The worst homework score will be dropped.
• There will be two takehome midterm tests. Each midterm will count 25% towards your semester grade.
• There will be a 2-hour cumulative final exam (on Monday, May 19, 4 pm -- 6 pm) which will count 25 % towards your semester grade.

The students are required to read the book and do homework in pace with the lectures. Collaboration is allowed on homework but not on tests. The homework assignments (including due dates) are posted at the course website

Office: 4417 Mathematics Building;
tel.: (301) 405-5118;
email dmitry@math

Office hours: WF: 4:00-5:00 and by appointment.