100382 Stochastic Processes

Course offering details

Instructors: Dr. Keivan Mallahi Karai

Type: Lecture

Org-unit:

Course Name Abbreviation: StochProc

Hours per week: 3

Credits: 7.50

Min. | Max. participants: - | -

Partial Grades:
Final Exam (40%, Mandatory)
Home Work (30%)
Midterm Exam (30%)

Further Grading Information:
This course serves an introduction to the theory of stochastic processes. A large portion of the course will focus on the discrete time random processes while the last four weeks are dedicated to a rigorous study of Wienner processes (Brownian motions) and some of their applications. No prior knowledge of measure theory is assumed, but student are expected to be familiar with the basic theory of Lebesgue integration. After a crash course on probability, several limit theorems for sequence of i.i.d. random variables will be proven. This is followed by a study of countable state Markov chains. The construction of the Brownian motion and some of its basic properties will come at the end of the semester. If time allows, topics such as random walk on groups or applications to mathematical finance will also be discussed.

Official Course Description:
Stochastic processes are nondeterministic phenomena evolving over time in a manner controlled by the laws of probability. Of particular interest in the study of their behaviour is the relationship between the future of a process and its past and also its long run behaviour. The theory of stochastic processes has a vast array of applications. The course will provide an introduction to the theory of stochastic processes, in particular: finite and countable Markov chains, random walks, first elements of diffusion processes, stationary processes.

Literature
Primary Text
Required Reading (To view a list click a category.)
Recommended Reading (To view a list click a category.)
Appointments
Date From To Room Instructors
1 Wed, 6. Feb. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
2 Fri, 8. Feb. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
3 Wed, 13. Feb. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
4 Fri, 15. Feb. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
5 Wed, 20. Feb. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
6 Fri, 22. Feb. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
7 Wed, 27. Feb. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
8 Fri, 1. Mar. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
9 Wed, 6. Mar. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
10 Fri, 8. Mar. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
11 Wed, 13. Mar. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
12 Fri, 15. Mar. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
13 Wed, 20. Mar. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
14 Fri, 22. Mar. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
15 Wed, 3. Apr. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
16 Fri, 5. Apr. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
17 Wed, 10. Apr. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
18 Fri, 12. Apr. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
19 Wed, 17. Apr. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
20 Fri, 19. Apr. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
21 Wed, 24. Apr. 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
22 Fri, 26. Apr. 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
23 Fri, 3. May 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
24 Wed, 8. May 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
25 Fri, 10. May 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
26 Wed, 15. May 2013 11:15 12:30 West Hall 8 Dr. Keivan Mallahi Karai
27 Fri, 17. May 2013 08:15 09:30 West Hall 8 Dr. Keivan Mallahi Karai
Course specific exams
Description Date Instructors Mandatory
1. Final Exam Wed, 22. May 2013 16:00-18:00 Dr. Keivan Mallahi Karai Yes
1. Home Work No Date No
1. Midterm Exam Time tbd No
Contained in course catalogues
Course catalogue
Course Catalogue > School of Engineering and Science > Mathematical Sciences > Undergraduate Level Courses
Class Session Overview
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
Instructors
Dr. Keivan Mallahi Karai