Introduction to Stochastic Processes

2006/07, sem. 2

Prof. Boris Tsirelson, School of Mathematical Sciences.
Time and place
Sunday 9-11 Shenkar 222, Wednesday 12-13 Kaplun 118.
Probability, or probability for double major; linear algebra 1, or introduction to algebra 1.
DURRETT R. (Rick), "Essentials of stochastic processes", Springer 1999.
Grading policy
The final exam. Exercises should be submitted on time (at least 70%).
Office hours
Monday 13:30, Wednesday 13:10 (Schreiber 323).

Some exams

Easier than Durrett:
D.P. Bertsekas, J.N. Tsitsiklis, "Introduction to probability", Athena Scientific 2002.
Harder than Durrett:
G. Grimmett, D. Stirzaker, "Probability and random processes", Oxford 2005 (third edition).
SOME EXERCISES (mostly from the textbook) AND SOLUTIONS
1, 2, 3, 4, 5, 6, 7, 8, 9

See also the site of Shlomi Rubinstein (choose "Questions, solutions, previous exams and notes" and then "Introduction to stochastic processes").