Update: my duties have just been re-assigned, so apparently I will not be teaching Stochastic Processes in Winter 2013 after all! So, the information below may be completely changed by the new instructor (who is not yet chosen). I apologise for the changing circumstances. -- J.R.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;
http://probability.ca/jeff/;
Time: Thursdays, 6:10 - 9:00 p.m. First class Jan 10. Last class Apr 4. No class Feb 21 (Reading Week).
Location: Room 1073 of Sidney Smith Hall (building "SS" on campus map).
Final exam date and time and location: T.B.A.
Course Web Page: Visit www.probability.ca/sta447 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:
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.
Prerequisite: STA 347H. (Or equivalent, if you were an undergrad at a different university.)
Evaluation [tentative]:
Homework #1, 12%;
Midterm test, 20% (one hour);
Homework #2, 12%;
Homework #3, 12%;
Final Exam, 44%.
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.