Course Syllabus

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Class information

Course title : Math 130C Probability and Stochastic Processes III

Lecture : A
Course code : 44870
Term : Spring 2016

Lecture times : Mon Wed Fri 9:00 - 9:50 am

Lecture classroom : RH 306

Discussion sessions : (Dis 10) Tue Thu 9:00 - 9:50 am, room RH 306.

Instructor

Name : Laure Giovangigli
Office : RH 540N
Office Hours : Mon Wed Fri 12:30 pm - 2 pm

Email : lgiovang@uci.edu

Teaching Assistant

Name : Jienian Yang
Office : RH 480C
Email : jieniany@math.uci.edu

Course textbook

The coursetext is:
Introduction to Probability Models, by Sheldon Ross, 11th edition.

 

Week

Date

Sections

Topics covered

Assessments

1

Mon, Mar. 28

Intro, 4.1

Stochastic Processes, Markov Chains

Wed, Mar. 30

4.1, 4.2

Chapman-Kolmogorov Equa- tions

Fri, Apr. 1

4.3

Classification of States

2

Mon, Apr. 4

4.4

Limiting Probabilities

Quiz 1 up to 4.4

HW 1

Wed, Apr. 6

4.4

cont.

Fri, Apr. 8

4.5

Some Applications

3

Mon, Apr. 11

4.5

cont.

Quiz 2 up to 4.5

HW 2

Wed, Apr. 13

4.6

Mean Time Spent in Transient States

Fri, Apr. 15

4.7

Branching Processes

4

Mon, Apr. 18

4.8

Time reversible Markov Chains

Quiz 3 up to 4.8

HW 3

Wed, Apr. 20

4.9

Monte Carlo Methods

Fri, Apr. 22

4.11

Hidden Markov Chains

5

Mon, Apr. 25

5.3

Poisson Process

Wed, Apr. 27

5.3

Poisson Process

Fri, Apr. 29

Review

6

Mon, May 2

Midterm

Wed, May 4

6.2

Continuous-Time Markov Chains

Fri, May 6

6.3

Birth and Death Processes

7

Mon, May 9

10.1

Brownian Motion

Quiz 4 up to 10.1

HW 4

Wed, May 11

10.2

Hitting Times, Maximum Vari- able, Gambler’s ruin Problem

Fri, May 13

10.2

cont.

8

Mon, May 16

10.2

cont.

Quiz 5 up to 10.2

HW 5

Wed, May 18

10.3

Brownian Motion with Drift

Fri, May 20

10.3

Geometric Brownian Motion

9

Mon, May 23

10.4

Pricing Stock Options

Quiz 6 up to 10.4

HW 6

Wed, May 25

10.5

White Noise

Fri, May 27

10.6

Gaussian Processes

10

Mon, May 30

Memorial Day

Wed, Jun. 1

Review

Fri, Jun. 3

Review

Wed, Jun. 8

Final Exam (8:00-10:00 am)

 

Assessment

  •  Homework : 
    • Every Wednesday problems from the book will be assigned, covering the sections that will be treated during the week. A part of them (those starred) will be collected on Thursday of the next week (except during exams weeks and the week after the midterm). The first homework assignment is due on Thursday, April 7. Even if you have to submit only a handful of problems, you are strongly recommended to work on all of the problems that are suggested. It is only by practicing that you will be able to succeed in this course.
    • On Thursdays,detailed solutions of all the problems of the previous week (starred and non-starred) will be posted on the website. If you need some help to solve these problems do not hesitate to mention it during the discussion sessions or to contact me or your TA.
    • There will be 6 collected homework assignments. The lowest score among these homework scores will be dropped. No late homework will be accepted.

  • Quizzes : there will be 6 quizzes, one on every Thursday’s discussion except during exam weeks and the week after the midterm. The first quiz will be on Thursday, April 7. The lowest quiz grade will be dropped. There will be no make-up quiz. Each quiz will cover the material of the previous week up to what were taught on Monday, included (exactly like the homework assignment that you have to submit on the same day). You can expect the quiz problems to be similar to the homework problems.

  • Midterm : there will be one midterm during regular class time on Monday, May 2.

  •  Final exam : the final exam will take place on Wednesday, June 8 between 8:00 and 10:00 am.

    No calculator will be allowed during the quizzes or exams.
    Except in the event of an emergency, there will be no make-up exam.
    The final grade will be computed according to the following distribution:

     

Course requirement

Percentage of grade

Final exam

45%

Midterm

35%

Quizzes

10%

Homework

10%

The overall course grades will not be curved.

Review problems

Before every exam I will provide you with some review problems. They reflect very closely what the exams will look like. I thus strongly encourage you to work on them and come to me or Jienian if you have any question or need any help solving them.

Department add/drop policy

All enrollment is handled on-line, by the student, through the student’s WebReg account. Students can add classes up until the end of the second week of the quarter. After this date, the department will not authorize any more adds. Students can drop classes up until the end of the second week. After this date, students can petition the department’s Undergraduate Coordinator (through the student’s WebReg account) to drop a course provided they have a legitimate excuse. Instructors do NOT at any time approve students for adds, nor do they approve students for drops. For any information regarding enrollment or the add/drop policy of the department please refer to the following link : http://www.math.uci.edu/undergrad-courses/ course-registration-and-placement-information.

Course Summary:

Date Details Due