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  • Mon Wed Fri, 14:00 - 15:00, Math 204 Pilot For A New Course Called "Stochastic Processes and Their Applications"

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    This document provides information about the MATH 608D Topics in Probability course offered in September 2013. The course will cover stochastic processes and their applications, focusing on Markov chains and Markov Chain Monte Carlo simulation. It will be taught on Mondays, Wednesdays, and Fridays from 2-3 pm in room Math 204. The instructor is D. Brydges and the course prerequisites include linear algebra, differential equations, calculus, and a prior probability course. The goal is to introduce graduate students to these techniques without assuming a strong analysis background. Topics will include probability spaces, martingales, stochastic integrals, stopping times, discrete Markov chains, and Monte Carlo simulations.

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    This document provides information about the MATH 608D Topics in Probability course offered in September 2013. The course will cover stochastic processes and their applications, focusing on Markov chains and Markov Chain Monte Carlo simulation. It will be taught on Mondays, Wednesdays, and Fridays from 2-3 pm in room Math 204. The instructor is D. Brydges and the course prerequisites include linear algebra, differential equations, calculus, and a prior probability course. The goal is to introduce graduate students to these techniques without assuming a strong analysis background. Topics will include probability spaces, martingales, stochastic integrals, stopping times, discrete Markov chains, and Monte Carlo simulations.

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    17 Ansichten2 Seiten

    Mon Wed Fri, 14:00 - 15:00, Math 204 Pilot For A New Course Called "Stochastic Processes and Their Applications"

    Hochgeladen von

    z2048
    This document provides information about the MATH 608D Topics in Probability course offered in September 2013. The course will cover stochastic processes and their applications, focusing on Markov chains and Markov Chain Monte Carlo simulation. It will be taught on Mondays, Wednesdays, and Fridays from 2-3 pm in room Math 204. The instructor is D. Brydges and the course prerequisites include linear algebra, differential equations, calculus, and a prior probability course. The goal is to introduce graduate students to these techniques without assuming a strong analysis background. Topics will include probability spaces, martingales, stochastic integrals, stopping times, discrete Markov chains, and Monte Carlo simulations.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Als PDF, TXT herunterladen oder online auf Scribd lesen
    Markieren Sie unangemessene Inhalte
    von 2

    MATH 608D

    Topics in Probability
    Mon Wed Fri, 14:00 15:00, Math 204 Pilot for a new course called Stochastic Processes and their Applications

    September 2013

    Instructor: D. Brydges, MATX 1205, 604-822-3620, db5d@math.ubc.ca Oce hours: TBA Text: Introduction to Stochastic Processes, Second Edition, Greg Lawler http://www.math.uchicago.edu/~lawler/books.html Prerequisites: Linear algebra, equivalent to one of MATH 152, MATH 221, MATH 223 Ordinary dierential equations, Laplace transform and complex exponential equivalent to one of MATH 215, MATH 255 and MATH 256 Multivariable calculus, innite series and power series A rst course in probability equivalent to math 302 Description: Markov chains and their application in Markov Chain Monte Carlo Simulation are important in increasingly many sciences. This is a pilot for a new course intended for graduate students from applied backgrounds who want to learn about these techniques. The goal is to provide a good grasp of the theorems and examples that drive this subject, without assuming a strong background in undergraduate analysis. Outline: 1. Review of probability spaces events independence random variables and their distributions sampling from a distribution expectation and conditional expectation 2. Discrete time Martingales 3. Discrete versions of stochastic integrals 4. Stopping times and cant beat the system theorems 5. Discrete time Markov chains 6. Markov Chain MonteCarlo Simulations 7. Brownian motion and perhaps Ito integrals Homework/solutions: posted at http://www.math.ubc.ca/~db5d/math608/assignments.html Grading: Course mark will be based on homeworks (50 %) and a take-home nal (50%). Booklist: Useful references are Essentials of Stochastic Processes, Richard Durrett, http://www.math.duke.edu/~rtd/EOSP/EOSP_beta. pdf Monte Carlo Strategies in Scientic Computing, Jun S. Liu, http://www.people.fas.harvard.edu/ ~junliu/

    Monte Carlo Methods in Statistical Physics, M. E. J. Newman, G. T. Barkema. (An older book that does a beautiful job of explaining the origins and principles of Markov Chain Monte Carlo) Updated July 2 2013.

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