Next week:
Week 20 (05/13-05/17): Chapter 10 on Brownian motion, sections 10.1-3. If time discussion of the exam last year, text, solution. The smart board was not very cooperative Monday, but here is a copy of my notes. , slides.
This was the last lecture in STK2130-sp19, but there will be problem sessions Thursday May 16th and Monday May 20th.
Previous weeks:
Week 3 (01/14-01/18): Section 2.9 defining stochastic processes (except Example 2.53), and chapter 4 on Markov chains: introduction and Chapman-Kolmogorov equations, slides, slides,
Week 4 (01/21-01/25): Finished section 4.2 on Chapman-Kolmogorov equations, section 4.3 until p. 199 on symmetric random walk in two dimensions and section 4.4 on long-run proportions and limiting probabilities including Proposition 4.4, slides, slides
Week 5 (01/28-02/01): Finished section section 4.4 on long-run proportions and limiting probabilities except examples 4.24, 4.25 and 4.26. slides slides.
Week 6 (02/04-02/08): Section 4.5.1 on Gambler's ruins problem and section 4.6 on Mean time spent in transitional states. If time beginning of section 4.7 on Branching processes, slides, slides, slides, Exmp3.40.
Week 7 (02/11-02/15): Finished section 4.7 on Branching processes, then section 4.8: time reversible Markov Chains (until example 4.35) and section 4.9: Markov chain Monte Carlo methods (until and including example 4.39) slides, slides
Week 8 (02/18-02/22): Some final remarks on section 4.9 on Markov Chain Monte Carlo. Then sections 5.1 and 5.2 on exponential distribution, not examples 5.1, 5.5, 5.7, 5.9 and 5.10, slides, slides slides
Week 9 (02/25-03/01): Finished section 5.2 on exponential distribution, not examples 5.1, 5.5, 5.7, 5.9 and 5.10. Then beginning of section 5.3 on Poisson Process, i.e subsections 5.3.1-2, slides slides.
Week 10 (03/04-03/08): Finished Subsections 5.3.3-4, slides, slides.
Week 11 (03/11-03/15): Subsections 5.3.5 on conditional distribution of the arrival times, not examples 5.19, 5.20 and 5.22, then section 5.4 on generalizations of the Poisson Process, subsections 5.4.1 on non homogenous Poisson Process until example 5.24. slides, slides.
Week 12 (03/18-03/22): Finished subsections 5.4.1 on non-homogeneous Poisson processes and subsection 5.4.2 on compound Poisson processes. Start of Chapter 6 on continuous time Markov chains: sections 6.1 and beginning of 6.2, slides.
Week 13 (03/25-03/29): Week for midterm exams, so there will be no regular class. But there will be a mini-oracle from 11:30 to 12 am in auditorium 5 Monday 25th and Wednesday 27th.
Week 14 (04/01-04/05): Chapter 6 on continuous time Markov chains: sections 6.1, 6.2 and 6.3 slides , slides.
Week 15 (04/08-04/12): Chapter 6 on continuous time Markov chains: section 6.4 on transition probability functions. If time beginning of section 6.5 on limiting probabilities, slides , slides.
Week 16 (04/15-04/19): Easter
Week 17 (04/22-04/26): Finished section 6.4 on transition probability functions, then section 6.5 on limiting probabilities until example 6.16, slides .
Week 18 (04/29-05/03): Finished section 6.5 on limiting probabilities, then beginning of section 6.8 on uniformization, slides
Week 19 (05/06-05/10): Finished section 6.8 on uniformization, then section 6.9 on computing the transition probabilities and sections 7.1 and 7.2 in chapter 7 on renewal theory, slides , slides.