Math 632

Notes on Math 632: Introduction to Stochastic Processes @ University of Wisconsin-Madison Your comments and criticism are greatly welcomed.

Resources

Week 1
9/6	Review, Introduction to Stochastic Processes
Week 2
9/11	Introduction to Markov Chain
9/13	Simple Random Walk, P^n, Gambler's Ruin
Week 3
9/18	T, Strong Markov Property, T_y, ρ_yy, Recurrence
9/20	Recurrence, Closed, Irreducible, Communication
Week 4
9/24	Theorems Related to Recurrence
9/27	Stationary Distribution/Measure, Renewal Chain
Week 5
10/2	Positive/Null Recurrent, Limit Behavior
10/4	Periodicity, Limiting Behavior
Week 6
10/9	Convergence Theorem
10/11	Midterm 1
Week 7
10/16	Doubly Stochastic, Detailed Balance
10/18	Exit Distribution
Week 8
10/23	Exit Time
10/25	Probability Review for Poisson Process
Week 9
10/30	Introduction to Poisson Process
11/1	Compound Poisson Process
Week 10
11/6	Thinning, Superposition, and Conditioning
11/8	Poisson Process Comprehensive Problems
Week 11
11/13	More Exercises on Poisson Process
11/15	Midterm 2
Week 12
11/20	Introduction to Renewal Process
11/22	Thanksgiving
Week 13
11/27	Renewal Process, Age and Residual Life
11/29	Continuous Time Markov Processes
Week 14
12/4	M/M/s Queue, Kolmogorov Equations
12/6	Properties of CTMC
Week 15
12/11	CTMC Exercises