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
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 |
<qian@amath.washington.edu> | Mon Mar 8 15:19:14 PST 2010 |