Instructor: |
Professor Hong Qian Guggenheim 415E 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. Brownian motion - an alternative introduction
5. Stochastic differential equations
6. Poisson process and master equations
7. Relative entropy and entropy production
8. Applications in Polymer Physics
9. Gaussian Processes and Spectral Analysis
| Homework and Exams | Homework Due Date | Homework Problem Sets | Homework Solutions |
| First day of classes | Monday, March 26 | ||
| Homework#1 | due Monday, 4/9 | Homework #1 | |
| Homework#2 | due Monday, April 23 | Homework #2 | |
| Monday, Apr 16 | No class | ||
| Wednesday, Apr 18 | No class | ||
| Homework#3 | due Monday, April 30 | Homework #3 | |
| Homework#4 | due Wednesday, May 9 | Homework #4 | |
| Homework#5 | due Monday, May 21 | Homework #5 | |
| Homework#6 | due Wednesday, May 23 | Homework #6 | |
| Memorial Day | Monday, May 28 | No class | |
| Term Paper Due | Friday, June 1 |
| <qian@amath.washington.edu> | Mon Mar 8 15:19:14 PST 2010 |