**Instructor:**
Professor Jeffrey S. Rosenthal,
Department of Statistics, University of Toronto.
Sidney Smith Hall, room 5022; phone (416) 978-4594;
e-mail
j.rosenthal@math.toronto.edu;
web
http://probability.ca/jeff/

**Lectures:** Thursdays, 6:10 - 9:00 p.m.,
in room 2102 of Sidney Smith Hall
(building "SS" on campus map).
First class Jan 4. Last class March 29.
No class Feb 22 (Reading Week).
During lectures, please
**put away your laptops and cell phones** (unless you are
using them specifically for a class-related purpose with prior permission),
and **pay attention** to the material being presented.

**Course Web Page:** Visit
probability.ca/sta447
for course information and announcements.

**Prerequisite: **
STA347.
**NOTE:** This prerequisite will be **strictly
enforced** for undergraduate students: undergraduate
students without STA347 will **not** be permitted to remain
in STA447 except in **very special circumstances**. (It does
**not** suffice to simply have taken some other advanced
statistics courses.) For graduate students, it suffices to have taken
a course equivalent to STA347 at another university; if you are unsure
about the equivalence then please ask me.

**Evaluation (tentative, to be confirmed later):**

10% Homework #1 (assigned by Jan 11, due Jan 25 at 6:10 pm sharp);

25% Midterm test (on Thurs Feb 8, during class time);

10% Homework #2 (assigned by Feb 15, due Mar 8 at 6:10 pm sharp);

10% Homework #3 (assigned by Mar 15, due Mar 29 at 6:10 pm sharp);

45% Final Exam (some time during April 9-30 exam period, to be announced).

**Note:** On the midterm and exam,
**BRING YOUR STUDENT CARD**,
and **DO NOT SIT NEXT TO ANYONE THAT YOU KNOW**.

**Instructor Office Hours:**
You are welcome to talk to the instructor after class, or any time you
find him in his office (SS 5022), or you can e-mail him to arrange
another time to meet.

**TA Office Hours:**
To be announced.

**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 Monte Carlo algorithms, random walks on graphs,
branching processes, option pricing, queueing networks, and more.

**Readings:**
There is no required textbook.
The instructor will post his point-form
lecture notes
on this course web page.
In addition, the following books (among others)
may be useful for further reading:

- R. Durrett (1999), Essentials of stochastic processes. Springer, New York. [See free online version of second edition, 2011.]
- G.R. Grimmett and D.R. Stirzaker (1992), Probability and random processes, second edition. Oxford University Press. [Or: third edition, 2001.]
- S. Resnick (1992), Adventures in stochastic processes. Birkhauser, Boston.
- G.E. Lawler (1995, or 2nd ed. 2006), Introduction to stochastic processes. Chapman & Hall.
- O. Häggström (2002), Finite Markov chains and algorithmic applications. Cambridge University Press.
- J.S. Rosenthal (2006), A first look at rigorous probability theory, 2nd ed. World Scientific Publishing Company, Singapore. [Especially chapters 7,8,14,15.]

**Lateness policy**:
Homeworks are due at 6:10pm **sharp**.
Lateness penalties are:
1-5 mins = 1 point;
6-10 mins = 2 points;
11-30 mins = 5% of total 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.**
(Note: for final exams, a different Faculty-wide process is followed.)

This document is available at probability.ca/sta447 or probability.ca/sta2006, or permanently at probability.ca/jeff/teaching/1718/sta447/