STA 447/2006S: Stochastic Processes (Winter 2012)

[See also the evolving lecture notes.]
STA 447/2006S is a course about random (stochastic) processes, designed for graduate and fourth-year undergraduate students in statistics and related disciplines.

Instructor: Professor Jeffrey S. Rosenthal, Department of Statistics, University of Toronto. Sidney Smith Hall, room 5016B; phone (416) 978-4594;; 'jeff' at ''

Time: Thursdays, 6:10 - 9:00 p.m. First class Jan 12. Last class Apr 5. No class Feb 23 (Reading Week).

Location: Room 1073 of Sidney Smith Hall (building "SS" on campus map).

Final exam: Thursday Apr 12, 7-10 p.m., Room 200, Brennan Hall, St. Michael's College, 81 St. Mary Street, 2nd floor. (Building "BR" on campus map.)

Course Web Page: Visit for course information and announcements.

Textbook: There is no required textbook. The instructor will post his point-form lecture notes on this course web page.

Further Reading: The following books may be useful for further reading, and will be held on reserve in the Mathematical Sciences Library:

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.

Prerequisite: STA 347H.

Homework #1, 12% (assigned by Jan 26, due Feb 9);
Midterm test [sols], 20% (one hour, at 6:10 pm on Feb 16, in U.C. room 266 [East Hall]);
Homework #2, 12% (assigned by Mar 1, due Mar 15);
Homework #3, 12% (assigned by Mar 22, due Apr 5);
Final Exam, 44% (Thursday Apr 12, 7-10 p.m., Room 200, Brennan Hall, St. Michael's College, 81 St. Mary Street, 2nd floor).

Lateness policy: Homeworks are due at 6:10pm sharp. Lateness penalties are: 1-10 mins = 1 point; 11-30 mins = 2 points; 31 mins - 24 hours = 10% of total points; longer = (10% of total points) x (number of days late, rounded UP).

Regrading policy: Regrading requests should only be made for genuine grading errors, and should be initiated by writing or typing a complete explanation of your concern (together with your full name, student number, e-mail address, and telephone number) on a separate piece of paper, and giving this together with your original unaltered homework/test paper to the instructor within one week of when the graded homework or test was first available. Warning: your mark may end up going down rather than up. Further details are available here.

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