STA 447/2006S: Stochastic Processes (Spring, 2008)

STA 447/2006S is a course about random (stochastic) processes, designed for graduate and fourth-year undergraduate students in statistics and related disciplines.
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Instructor: Professor Jeffrey S. Rosenthal, Department of Statistics, University of Toronto. Sidney Smith Hall, room 6024; phone (416) 978-4594;; 'jeff' at ''

Time: Thursdays, 6-9 pm. First class January 10. Last class April 10. No class February 21 (Reading Week).

Place: Sidney Smith Hall (100 St. George Street), room 2118. (Building "SS" on campus map.)

Course Web Page: Visit for the latest course information and announcements.

Textbook: Essentials of Stochastic Processes, by Rick Durrett (Springer, 2nd printing 2001). Available at U of T Bookstore or amazon.

Tentative list of topics to be covered: Markov chains in discrete and continuous time, martingales, Poisson processes, renewal theory, and Brownian motion, with applications (as time permits) to queueing networks, option pricing, population models, and more.

Prerequisites: STA347, or equivalent knowledge of advanced probability theory.

Evaluation: One in-class test (Feb. 28, in OISE room 2212, 30%); one final exam (Wed. April 23, 7-10pm, in U.C. West Hall, 50%); homework assignments (20%). See also the grade-related course policies.

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