MATH 5763 - Stochastic Processes, Section 990 - Fall 2015
Tue 1:30–4:20 p.m., Classroom Building 3104

Instructor: Nikola Petrov, 802 PHSC, (405)325-4316, npetrov AT

First day handout

Prerequisite: Basic calculus-based probability theory (including axioms of probability, random variables, expectation, probability distributions, independence, conditional probability). The class will also require knowledge of elementary analysis (including sequences, series, continuity), linear algebra (including linear spaces, eigenvalues, eigenvectors), and ordinary differential equations.

Course description: The theory of stochastic processes studies systems that evolve randomly in time; it can be regarded as the "dynamical" part of probability theory. It has many important practical applications, as well as in other branches in mathematics such as partial differential equations. This course is a graduate-level introduction to stochastic processes, and should be of interest to students of mathematics, statistics, physics, engineering, and economics. The emphasis will be on the fundamental concepts, but we will avoid using the theory of Lebesgue measure and integration in any essential way. Many examples of stochastic phenomena in applications and some modeling issues will also be discussed in class and given as homework problems.

Texts (all available free for OU students from the OU Library):

Main topics (a tentative list):


Content of the lectures:

Grading: Your grade will be determined by your performance on the following coursework:

Homework (lowest grade dropped) 50%
Take-home midterm exam 20%
Take-home final exam 30%

Homework: Homework assignments will be given regularly throughout the semester and will be posted on this web-site. The homework will be due at the start of class on the due date. Each homework will consist of several problems, of which some pseudo-randomly chosen problems will be graded. Your lowest homework grade will be dropped. All homework should be written on a 8.5"×11" paper with your name clearly written, and should be stapled. No late homework will be accepted!

You are encouraged to discuss the homework problems with other students. However, you have to write your solutions clearly and in your own words - this is the only way to achieve real understanding! It is advisable that you first write a draft of the solutions and then copy them neatly. Please write the problems in the same order in which they are given in the assignment. There is no need to type the homework, but please use your best handwriting!

Exams: There will be one take-home midterm and a comprehensive take-home final. All tests must be taken at the scheduled times, except in extraordinary circumstances. Please do not arrange travel plans that will prevent you from taking any of the exams at the scheduled time.

Good to know: