TAU:0365-2111
| Introduction to Stochastic Processes
| 2006/07, sem. 2
|
- Lecturer
- Prof. Boris Tsirelson,
School of Mathematical Sciences.
- Time and place
- Sunday 9-11 Shenkar 222, Wednesday 12-13 Kaplun 118.
- Prerequisites
- Probability, or probability for double major; linear algebra 1, or
introduction to algebra 1.
- Textbook
- DURRETT R. (Rick), "Essentials of stochastic processes", Springer 1999.
- Grading policy
- The final exam. Exercises should be submitted on time
(at least 70%).
- Office hours
- Monday 13:30, Wednesday 13:10 (Schreiber 323).
ADDITIONAL LITERATURE
- Easier than Durrett:
- D.P. Bertsekas, J.N. Tsitsiklis,
"Introduction to probability", Athena Scientific 2002.
- Harder than Durrett:
- G. Grimmett, D. Stirzaker,
"Probability and random processes", Oxford 2005 (third edition).
SOME EXERCISES (mostly from the textbook) AND SOLUTIONS
1, 2, 3,
4, 5, 6,
7, 8, 9
See also the site of Shlomi
Rubinstein (choose "Questions, solutions, previous exams and notes" and
then "Introduction to stochastic processes").