Instructor: |
Professor Hong Qian Lewis 319 tel: 543-2584 fax: 685-1440 hqian@u.washington.edu office hours: M,W 12:00-1PM |
| Homework | Grades | 2010 Web Page |
| Course description | Textbook | Syllabus | Objectives | Schedule |
Stochastic analysis is a new way of reasoning which has wide application in all fields of science and engineering. Different from the traditional deterministic approach, stochastic analyses try to obtain useful information from seemingly random data, and stochastic models try to develop insights into the nature of randomness. The stochastic mathematics is particularly relevant to statistical physics, (just as calculus to mechanics and linear algebra to quantum mechanics), biology and life science, nanotechnology, signal processing and communications, and many branches of science and engineering, as well as economics and finance. The course will be taught from an application standpoint with examples from many different fields.
0. A historical account by E.W. Montroll
1. Dynamics based on distributions: A new perspective
2. Review on probability and random variables
4. Markov processes with continuous time and state space: Kolmogorov forward differential equation
5. Markov jump processes with
discrete state space and continuous time
6. Poisson process and master equations
7. Birth-death processes and
nonlinear population dynamics
8. On properties of statistical estimators
7. Stochastic differential equation
Schedule and Homework
Homework and Exams
Homework Due Date
Homework Problem Sets
Homework Solutions
First day of classes
Monday, March 31
Homework#1
due Monday, April 14
Homework #1
Homework#2
due Monday, April 21
Homework #2
Homework#3
due Monday, April 28
Homework #3
Homework#4
due Monday, May 5
Homework #4
Homework#5
due Monday, May 12
Homework #5
Homework#6
due Monday, May 19
Homework #6
Homework#7
due Monday, June 2
Homework #7
Memorial Day
Monday, May 26
No class
Term Paper Due
Friday, June 6
Grading
| <qian@amath.washington.edu> | Mon Mar 8 15:19:14 PST 2010 |