Rice University
This course covers the theory of some of the stochastic processes used
most frequentlyin application:
discrete and continuous time Markov chains, Poisson and renewal processes,
and Brownian motion
Solution 9 available
Last update Dec 1. 2006
Instructor
Dr. Rudolf RiediTeaching Assistant
Duncan Hall 2082, 713 / 348 3020,
Email for appointments
Alireza Keshavarz-HaddadTime and Place
TR 09:25AM - 10:40AM HZ 119 (Hermann Brown)
see also Time (official Rice page)
Location (Rice map)
Monday 1-2 pm pm (DH 2082), or by appointment
Outline and suggested topics
Textbook
Further suggested reading
- S. Resnick, `Adventures in Stochastic Processes'.
The course will closely follow this book; it is available at the campus bookstore.
Also, Amazon quotes currently (4/2005) a prize reduction by 14%
Grading
15% QUIZ
30% Midterm EXAM
30% Last EXAM
25% Homework
[Outline] [Textbooks] [Grading] [Reading assignment] [Homework problems and solutions] [Tests][Knowledge Milestones]
Classes and Reading assignments
This doubles as a calendar for the course.See also the course schedule from Fall 2005
2006 |
Covered material | Reading: Resnick (Edition 2002) |
August 29 |
Orientation | |
August 31 |
Probability generating function (pgf), | 1-17, |
September 5 | Pgf cont., Simple Branching process, | 18-20, 21-26, |
September 7 |
Extinction, Simple random walk |
33-34 |
September 12 | First Hit at 1, stopping times, Wald's
identity
Up to here : material for QUIZ |
34-39, 44-45, 47-48 |
September 14 | Markov Chains basics, Chapman-Kolmogorov, Accessible States, Classes, Closed sets | 60-79 |
September 19 | REVIEW random walk, MC | |
September 21 | Quiz hand out. Take home, Due Friday Sept 22 Transience, Recurrence, Periodicity |
85-90 |
September 26 | Canonical Decomposition | 91-99 |
September 28 | Finite closed classes | 100-116 |
October 3 |
Stationary Distributions for recurrent chains | 116-122 |
October 5 |
Time averages |
123-132 |
October 10 | Limiting distributions | |
October 12 | Renewal processes: basics, Convolution | 174-176, 176-184 |
October 17 | Recess | |
October 19 | Renewal function, Renewal equation | 186-187, 197-205 |
Start to here | Material for Test 1 | |
October 24 |
exponential inter-arrival times, Poisson process on the line | 211,182 |
October 26 |
Limiting theorems | 189-191,212-217,224-227, 237 |
October 31 |
Review MC, discussion HW 6 | |
November 2 |
Hand-out 1st Exam | due Nov 10 noon |
November 2 | HW 6; Elementary renewal thm, Stationarity | |
November 7 | Stationary renewal sequences, Blackwell | 214-215,224-229 |
November 9 | Poisson processes: basics, transformation. | 300-318 |
November 14 | Discussion Test 1; Poisson processes: marking, queuing |
316-320; 333-336 |
November 16 | Poisson processes: thinning; Laplace functional | 337-346 |
November 21 |
general construction, order statistics and records; Compound Poisson | 346-349; 330-331 |
November 23 | Thanksgiving | |
November 28 |
Hand-out test 2. Material = from Recess to here | due last day of class 11:59 |
November 28 | General Markov processes: def, cond. probabilities, marginals and consistency, Poisson Point Process on line | Rao (Probab. Th.), pp 114-135 |
November 30 | Review Renewal processes, Poisson Point Processes | |
December 5 | Ex Markov: Poisson Renewal Process, Brownian motion | 367-376 |
December 7 | Continuous time Markov chains, Birth-Death process | 382-391 |
December 8 |
Last day of class, test 2 due |
[Outline] [Textbooks] [Grading] [Reading assignment] [Homework problems and solutions] [Tests][Knowledge Milestones]
Homework
(tex-source and solutions restricted to Rice University)
This
file is needed to latex the source.
Homework sheet | Due date (in class) | Solutions |
Problem Set 1 [ps] [pdf] [tex] | Sept 7, 2006 | posted Sept 12 [ps] [pdf] [tex] |
Problem Set 2 [ps] [pdf] [tex] | Sept 14, 2006 | posted Sept 21 [ps] [pdf] [tex] |
Problem Set 3 [ps] [pdf] [tex] | Oct 3, 2006 | posted Oct 3 [ps] [pdf] [tex] |
Problem Set 4 [ps] [pdf] [tex] | Oct 10, 2006 | posted Oct 12 [ps] [pdf] [tex] |
Problem Set 5 [ps] [pdf] [tex] | Oct 19, 2006 | posted Oct 23 [ps] [pdf] [tex] |
Problem Set 6 [ps] [pdf] [tex] | voluntary, practice test | discussed in class |
Problem Set 7 [ps] [pdf] [tex] | Nov 16 | posted Nov 18 [ps] [pdf] [tex] |
Problem Set 8 [ps] [pdf] [tex] | Nov 21 | posted Nov 22 [ps] [pdf] [tex] |
Problem Set 9 [ps] [pdf] [tex] | voluntary, practice test | discussed in class [ps] [pdf] [tex] |
Homework is due at the beginning of class on the due date. After the due date, but before solutions are handed out, homework can be turned in for 50% credit. In this case, please slip your homework under the instructors's office door, or bring it to class. After solutions are handed out, 0% credit will be issued. You are encouraged to work in groups for homeworks but you will hand in your own solution which you are expected to understand.
[Outline] [Textbooks] [Grading] [Reading assignment] [Homework problems and solutions] [Tests][Knowledge Milestones]
Quiz (15% towards the grade) | Due Sept 22 | In class, 60 min, (open: only two hand-written pages ) |
Test 1 (30%) | Due Nov 10 noon |
Take home, 3 hours,
closed book, open notes open solution handouts |
Test 2 (30%) | Due last day of class | Take home, 3 hours, open everything
on Renewal and Point processes |
Knowledge Milestones aquired in this course