Statistics 217 Syllabus
Introduction to Stochastic Processes
Winter 2006
Course Web Page: http://www-stat.stanford.edu/∼romano/stat217/
Lectures: The class meets Tuesday and Thursday, 11:00–12:15.
Instructor: Joe Romano. My office is in Sequoia Hall, Room 142. My office
phone number is 723-6326. My email address is: romano@stanford.edu.
Office hours are tentatively scheduled for Tuesday 2:30–4 and Thursday
1:15–2:15.
Prerequisites: Statistics 116, or the equivalent (calculus and probability).
Text: An Introduction to Stochastic Modeling, by Taylor and Karlin. We
are using the third edition, published by Academic Press.
Teaching Assistants: The teaching assistants for the course are Gen
Nowak, Nilanjan Mukhopadhyay and Li Jin. Their office hours will be announced soon. Please consult the webpage for updates.
Grading: Your grade will be determined by weekly problem sets (roughly
30% weight), a midterm (roughly 30% weight), and a final exam (roughly
40% weight). The final exam is on Thursday, March 23 from 3:30–6:30.
Rough Course Outline by Week:
1. Review of Probability, Random Variables, Distributions, Conditioning,
Introduction to Martingales.
2. Markov Chains, Transition Matrices, Examples (random walk, Ehrenfest
model, etc.).
3. Long run behavior, recurrence, transience, hitting times.
4. Classification of States, balance equations, reversibility.
5. Poisson process, Midterm.
6. Continuous time Markov Chains.
7. Birth and Death Processes.
8. Generating Functions, Branching Processes.
9. Renewal Theory.
10. Queueing Systems
11. Review.
Problem Set 1 (due Tuesday, January 17 at the beginning of class)
From Chapter 1: 2.3, 3.6, 4.7, 5.2; from Chapter 2: 1.7, 3.2, 4.1. Beware: At
the end of each section, there are problems under the heading Exercises and
problems under the heading Problems. Unless stated otherwise, the problems
assigned fall under the heading Problems.