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| | Math 526 - Nikola Petrov (Site not responding. Last check: 2007-10-08) |
 | | Markov chains (Chapman-Kolmogorov equations, persistence and transience, stationary distributions, reducibility, limit theorems, ergodicity, Poisson and birth-death processes), martingales and martingale convergence theorem, random processes (stationary, renewal, queueing, and Wiener processes, spectral representation, ergodic theorem, Gaussian processes), diffusion processes, introduction to stochastic differential equations. |
 | | Lecture 10 (Mon, Feb 14): Thinning (Exercise 6.8.2), arrival and interarrival times, independence and exponential distribution of interarrival times, lack of memory of exponential random variables, Gamma distribution of arrival times, birth process, special cases (Poisson, simple birth, simple birth with immigration), forward and backward equations (Sections 6.8.7-13). |
 | | Lecture 17 (Wed, Mar 16): Proof of Doob-Kolmogorov inequality, types of convergence of random variables, Martingale Convergence Theorem (no proof), example of application (Sections 7.8.2-3, 7.2.1, 7.2.3, 7.8.1, 7.8.6). |
| www.math.lsa.umich.edu /~npetrov/math526_w05.html (1407 words) |
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