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Stochastic Processes (Fall 2008)
MATH 4430 3.0AF
MATH 6602 3.0AF

Announcements and documents will be posted here as they become available.

Note that this is an integrated course. In other words, an undergraduate course (MATH 4430) and a graduate course (MATH 6602) meeting at the same time and in the same room. The lecture material is common to both courses. The courses use different texts however, and graduate students will be assigned different readings and assignments.




KT refers to Karlin and Taylor, TK to Taylor and Karlin.
As of Wednesday Nov 5 we have looked briefly at examples of continuous time Markov chains (Poisson processes, birth and death processes, queueing models), and will return to them in detail once we build some of the theory. We have derived the Kolmogorov backward equation, and will next turn to the forward equation.