Math 285 Stochastic processes

Winter 2022: MWF 4:00-4:50pm, APM 5402

Announcements

Course Information

Instructional Staff and Office Hours

Name Role Office E-mail Zoom link
Yuriy Nemish  Instructor   APM 6442 ynemish@ucsd.edu link

Lectures   Monday, Wednesday, Friday  4:00 - 4:50 PM
Office hours   Thursday  1:30 - 3:00 PM

Syllabus

Welcome to Math 285: a one quarter course in stochastic processes. According to the UC San Diego Course Catalog, the topics covered are Markov chains, hidden Markov models, martingales, Brownian motion, Gaussian processes.

Here is a more detailed listing of course topics, in the sequence they will be covered, together with the relevant section(s) of the textbook. While each topic corresponds to approximately one lecture, there will be some give and take here. This is a rough schedule that will be updated during the term. (TBA)

Lecture Week Topic Lawler Slides Videos Preliminary Slides
1/31 Introduction. Definition of Markov processes  § 1.1Slides 1Slides 1
1/51 Transition probabilities. Hitting times  -Slides 2Slides 2
1/71 Hitting times. First step analysis  -Slides 3Lecture 3Slides 3
1/102 First step analysis. Stopping times  -Slides 4Lecture 4Slides 4
1/122 Irreducible Markov chains. Random walks of graphs  -Slides 5Lecture 5Slides 5
1/142 Stationary distributions. Long-run behaviour  § 1.2Slides 6Lecture 6Slides 6

Lecture:  You are responsible for material presented in the lecture whether or not it is discussed in the textbook. You should expect homework questions that will test your understanding of concepts discussed in the lecture.

Homework:  Homework assignments are posted below, and will be due at 11:59 PM on the indicated due date.  You must turn in your homework through Gradescope; if you have produced it on paper, you can scan it or simply take clear photos of it to upload. Your lowest homework score will be dropped.  It is allowed and even encouraged to discuss homework problems with your classmates and your instructor, but your final write up of your homework solutions must be your own work.

Evaluation:  There will be no exams in this course. Your grade will be determined by your homework.

Administrative Links:    Here are two links regarding UC San Diego policies on exams:

Regrade Policy:  

Grading:

Your course grade will be based on the following scale:

A+ A A- B+ B B- C+ C C-
97 93 90 87 83 80 77 73 70

The above scale is guaranteed: for example, if your cumulative average is 80, your final grade will be at least B-. However, your instructor may adjust the above scale to be more generous.

Academic Integrity:  UC San Diego code of academic integrity outlines the expected academic honesty of all studentd and faculty, and details the consequences for academic dishonesty. The main issues are cheating and plagiarism, of course, for which we have a zero-tolerance policy. (Penalties for these offenses always include assignment of a failing grade in the course, and usually involve an administrative penalty, such as suspension or expulsion, as well.) However, academic integrity also includes things like giving credit where credit is due (listing your collaborators on homework assignments, noting books or papers containing information you used in solutions, etc.), and treating your peers respectfully in class. In addition, here are a few of our expectations for etiquette in and out of class.

Accommodations:

Students requesting accommodations for this course due to a disability must provide a current Authorization for Accommodation (AFA) letter issued by the Office for Students with Disabilities (OSD) which is located in University Center 202 behind Center Hall. The AFA letter may be issued by the OSD electronically or in hard-copy; in either case, please make arrangements to discuss your accommodations with me in advance (by the end of Week 2, if possible). We will make every effort to arrange for whatever accommodations are stipulated by the OSD. For more information, see here.

Top


Homework


Weekly homework assignments are posted here. Homework is due by 11:59 PM on the posted date, through Gradescope. Late homework will not be accepted.