The first of two quarters exploring the rich theory of stochastic processes and some of its many applications. Main topics are discrete and continuous Markov chains, point processes, random walks, branching processes and the analysis of their limiting behavior.

The spring quarter (Stat218) is to concentrate on renewal theory, Brownian motion, Gaussian processes and martingales (Ch. VII-VIII of text and supplements).

** Prerequisites: ** If you have not taken
a probability course at the level of Stat116/Math151, you
need instructor's permission for taking Stat217 for credit.
Chapters I-II.4 of text contain the material assumed to be known.

** Text: **
Taylor, Karlin, An Introduction to Stochastic Modeling, 3rd edition (Ch. III-VI).

Alternative texts:

- Hoel, Port, Stone, Introduction to Stochastic Processes (Ch. 1--3).
- Ross, Stochastic Processes, 2nd edition (Ch. 2,4,5).

** Meeting:** CERAS (School of Education) 304, TTh 11:00 - 12:30.

** Instructor: **
Amir Dembo,
TTh 12:30-1:30 Stat. 129 (725-2237), or e-mail
amir@math.stanford.edu

** TA1 ** (grading HW1,HW4,HW7):
Haiyan Liu, Stat. 242 (725-5952), office hours M 3:00-6:00;
e-mail hyliu@stat.stanford.edu

** TA2 ** (grading HW2,HW5,Practice-Final):
Illya Targoniy, Stat. 208 (725-6148), office hours F 2:30-5:30;
e-mail
targoniy@stat.stanford.edu

** TA3 ** (grading HW3,HW6,HW8):
Ery Castro, Stat. 141 (725-2223), office hours M 9:00-10:00,
Tu 8:55-10:55;
e-mail
acery@stat.stanford.edu

** Grading **: Judgement based on Final exam mark (75%), and
on Homework efforts (25%).

** Final **: Monday 3/19, 3:30-6:30pm, open material, in the class room
( solution/
pdf ).
See also
( Practice-Final/
pdf ).

** Homework: ** Homework problems due
Tuesday 12:30 p.m., on a weekly basis;
HW1
( pdf ),
due 1/16
(solution/
pdf) ,
HW2
( pdf ),
due 1/23
(solution/
pdf) ,
HW3
( pdf ),
due 1/30
(solution/
pdf) ,
HW4
( pdf ),
due 2/6
(solution/
pdf) ,
HW5
( pdf ),
due 2/13
(Corrected
solution/
( pdf ),
HW6
( pdf ),
due 2/20
(solution/
( pdf ),
HW7
( pdf ),
due 2/27
(solution/
( pdf ),
HW8
( pdf ),
due 3/13
(Posted
solution/
( pdf ).
Please deliver your assignment
to the course mailbox (marked "STAT 217") in 2nd floor of Sequoia Hall,
or to class, the day it is due. Late homework will not be accepted.
Your assignment will typically be returned in class by the following
Tuesday and placed thereafter in the mailbox marked "STAT 217 graded".
Graded HW8 shall be returned on class, March 15th.

** Syllabus ** (out of Taylor-Karlin Ch. III-VI).

1/9 Tu(III.1/III.5/III.3) Th(III.2) 1/16 Tu(IV.3) Th(III.4) 1/23 Tu(III.6.1+supplements) Th(---) 1/30 Tu(IV.4+supplements) Th(IV.1,IV.5) 2/6 Tu(IV.2) Th(VI.1-VI.3) 2/13 Tu(VI.1-VI.3) Th(V.1/V.3) 2/20 Tu(V.2/V.4/V.5) Th(VI.4-VI.6) 2/27 Tu(supplements) Th(III.8/III.9) 3/6 Tu(---) Th(TA:Practice-Final) 3/13 Tu(Review) Th(Review)

** Syllabus ** (out of Hoel-Port-Stone Ch. 1-3).

1/9 Tu(1.1-1.3) Th(1.4+supplements) 1/16 Tu(1.5-1.6) Th(1.6.1+supplements) 1/23 Tu(1.7-2.1) Th(---) 1/30 Tu(2.2-2.3) Th(2.4-2.5.1) 2/6 Tu(2.7-2.8) Th(3.1-3.2) 2/13 Tu(3.2.1-3.2.2) Th(3.2.3-3.2.4) 2/20 Tu(supplements) Th(3.3-3.3.1) 2/27 Tu(1.8/1.9) Th(2.6+supplements) 3/6 Tu(---) Th(TA:Practice-Final) 3/13 Tu(Review) Th(Review)

** Material covered this quarter, including HWs and self-reading: **

- Taylor-Karlin Ch. III,IV,V.1-V.5,VI.1-VI.6; Hoel-Port-Stone Ch. 1-3; Selected parts of Ross, Ch. 2,4,5.