Smith Section ST/MA 746 SYLLABUS
SPRING 2005 SYLLABUS for ST/MA 746-001 Smith
Section
ST/MA 746-001
Spring 2005
Introduction to Stochastic Processes
Place ,Time,Website:
HA 320 , 1:30-2:20 MWF,
"http://www4.stat.ncsu.edu/~bmasmith/05ST746/
Instructor:
Dr. C. E. Smith, COX HALL 513E, x5-1907, e-mail:
bmasmith@stat.ncsu.edu , office hours: Mon 2:30-3:30, Wed 2:30-3:30
Teaching Assistant:
TBA
??@unity.ncsu.edu
Prerequisites: MA 405 and MA(ST) 546 or ST 741;
Linear algebra, integral and diff. calculus and a previous statistics or probability course
Text:(1) Introduction to Stochastic Modeling, Howard Taylor & Samuel Karlin, THIRD edition, Academic Press, ISBN 0-12-684887-4, 1998.
Other reference books are on reserve in D.H. Hill Library Reserve Room under ST 746
Course Description:
Markov chains and Markov processes, Poisson process, birth and death processes, queuing theory, renewal theory, stationary processes,
Brownian motion. MAPLE will be used as a tool to do the linear algebra calculations of Markov chains.
Homework: Roughly weekly assignments, 10-12 total, lowest homework grade dropped. Lecture summary by student is one homework assignment. Optional project as extra credit.
Quizzes: TWO quizzes
Exam: Three hour exam, , 1-4 pm
GRADING: FOUR pieces: Homework, 2 Quizzes, Final. All equally weighted,
so each piece worth 25%
Plus/Minus grading will be used.
Course Outline: cf. Taylor and Karlin text
Review: Chapters 1, 2
Markov Chains: Chapters 3, 4 ,also O'Reilly chapter
Continuous time Markov Chain: Chapter 6
Poisson Process and Renewal Processes: Chapters 5, 7
Continuous Time Continuous State Processes: Chapter 8 also O'Reilly chapter
Queueing Systems: Chapter 9
LEC. TOPIC ( READINGS )
1 Introduction to Stochastic Processes, Pine Cones ( CH 1,2 )
2 Markov Chain, Defn of 1 step transion matrix ( O'Reilly chapter )
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