MATH 410: Stochastic Processes, Spring 2019

Professor: Bill Peterson, Department of Mathematics, Middlebury College

Office: 313 Warner Hall, ext 5417
Hours: Hours: Mon 2:00-3:00, Wed 3:00-4:00, Tues 1:30-2:30, Fri 9:00-9:50 & by appt.

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Catalog Description

Stochastic processes are mathematical models for random phenomena evolving in time or space. This course will introduce important examples of such models, including random walk, branching processes, the Poisson process and Brownian motion. The theory of Markov chains in discrete and continuous time will be developed as a unifying theme. Depending on time available and interests of the class, applications will be selected from the following areas: queuing systems, mathematical finance (Black-Scholes options pricing), probabilistic algorithms, and Monte Carlo simulation.
(pre-requisite: MATH 0310)

Required Text

Robert P. Dobrow
Introduction to Stochastic Processes with R
Wiley, 2016

R Software Download

Exam Schedule

  Exam 1 Thursday, March 21, 7:30 - 9:30pm
  Exam 2 Thursday, May 2, 7:30 - 9:30pm
  Final Exam Thursday, May 16, 9:00am - noon

Last modified: 10 February 2019 by W. Peterson