STAT 507 (Fall 2013)
"Applied Probability"
Course Outline
Instructor:

Anatoliy Swishchuk
E-mail: aswish@ucalgary.ca
Office: MS552
Tel.: (403) 220-3274
Office Hours: M:11:00am-1:00pm; W:11-12am & 1-2pm;

Place:  MS 319
Lectures Schedule and Tutorials 
Lectures schedule (L01)
Tutorials  schedule (T01)
Monday/Wednesday/Friday  9:00-9:50am  (MS 319)
 None

Syllabus

Markov Chains. Classification of states, irreducibility, limit theorems
Absorbing chains. The number of steps to absorption, its mean and variance
The probability of absorption in various states. Generating function
techniques on vectors and matrices
Renewal theory. Ordinary and alternating renewal processes. Laplace
transform techniques
Poisson processes and generalizations, Continuous-time Markov chains
Brownian motion and stationary processes. Simulation methods

Course Information Sheet

 Important Class Dates:
First day of class: 9:00am, Monday, September 9, 2013
  Quiz#1: 9:00am, Monday, October 7, 2013 (MS319)
Midterm: November 4, Mon, 9:00-9:50 (MS319)
Quiz#2: 9:00am, Monday, December 2, 2013 (MS319)
Last day of class: 9:00am, Friday, December 6, 2013
  Fall Session Final Examinations: December 9-19, 2013.
Final Exam:
Monday, December 16, 2013, 8-10am (Room-ST 147)
Recommended text
:
'Introduction to Probability Models' by Sheldon Ross, 10th ed., Academic Press.
(you may buy it in U of C Bookstore)

Course Web Page:
The current official syllabus for this course is available in the wall pockets across from MS 476 and
on the webpage at www.math.ucalgary.ca Course Listing-Undergraduate.
There is also a web page for this course which contains the course outline, tentative course schedule,  grading scheme, important class dates, etc.
Announcements made in class will be posted there (see end of this web-page). The address of this web page is: http://people.ucalgary.ca/~aswish/stat507F13.html/

Midterm and Quizzes:
There will be 1 Midterm (November 4, Monday, 9:00am, MS 319) and 2 Quizzes (Mondays, October 7 and December 2, 9:00am, MS 319 ).

Final Exam: Monday, December 16, 2013, 8-10am
It will cover all the materials covered in this course. 

Grading scheme (Course Evaluation):

 Exam, Midterm, Quizzes and Homework Assignments
Value (% of your final mark)
Dates
Midterm
20%
Nov 4, 2013, Monday, 9:00am, MS319
Quizzes (2)
30%=2x15%
Oct 7&Dec 2, Monday, 9:00am, MS319
Final Exam 50%  Monday, December 16, 2013, 8-10am (Room-ST 147)
Homework Assignments
Not for Credit but for your exams' preparation


Tentative Lectures Schedule for STAT 507
Month
Day
Monday
Day
Wednesday
Day
Friday
Sep
9
Lec1: Intro to Probability Theory-Basics
(Appendix: Basic Probability)
11
Lec2: Stochastic Processes (2.9)
13
Lec3: Markov Chains (MC): Introduction (4.1)
Sep
16
Lec4: MC: Chapman-Kolmogorov Equations (4.2) 18
Lec5: MC: Classification of States (4.3) 20
Lec6:  MC: Classification of States (4.3)
Sep
23
Lec7: MC: Limiting Probabilities (4.4) 25
Lec8: MC: Limiting Probabilities (4.4) 27
Lec9: MC: Some Applications (4.5)
Sep-Oct
30
Lec10: MC: Mean Time Spent in Transient States (4.6)
2
Lec11: Exponential distribution   (5.2.1)
4
Lec12:  PP: Counting Process ( 5.3.1) and Definition of PP (5.3.2)
Oct
7
Quiz#1 9
Lec13: PP: Waiting Time Distribution (5.3.3) 11
Lec14: PP: Further Properties (5.3.4)
Oct
14
Thanksgiving Day (No Lecture) 16
Lec15: PP: Conditional Distribution of Arrival Times (5.3.5) 18
Lec16:  PP: Sampling of PP (5.3.5)
Oct
21
Lec17: PP: Generalizations (5.4.1) 23
Lec18: PP: Compound PP (5.4.2) 25
Lec19: PP: Mixed PP (5.4.3)
Oct-Nov
28
Lec20: Continuous-time Markov Chains (CTMC): Intro (6.1-6.2) 30
Lec21: CTMC: Birth& Death Processes (6.3) and Transition Probability Function (6.4) 1
Lec22: CTMC: Chapman-Kolmogorov Equations (6.4)
Nov
4
MIDTERM 6
Lec23: CTMC: Limiting Probabilities (6.5)
8
Lec24: CTMC: Computing the Transition Probabilities (6.8)
Nov
11
Reading Day (No Lecture) 13
Lec25: Renewal Theory: Intro (7.1)   15
Lec26: Renewal Theory: Some Distributions (7.2)
Nov
18
Lec27:  Renewal Theory: Limit Theorems (7.3) 20
Lec28: Brownian Motion (BM) (10.1); 22
Lec29:  BM: Variations (10.3)
Nov
25
Lec30: BM: Pricing Stock Options (10.4.1-10.4.2) 27
Lec31: BM: Pricing Stock Options (10.4.1-10.4.2) 29
Lec32: Stationary Processes (10.7)
Dec
2
Quiz#2 4
Lec33: Simulation Methods (11.2-11.3)
Table o Random Digits
6
Lec34: Simulation Methods (11.4-11.5)


Announcements: 
Final Exam: Monday, December 16, 2013, 8-10am (Room-ST 147)
(Formulas&Tables for Final Exam)
(Bring in Your ID, Please)

MarksStat507Fall2013(Q#1&Midterm&Q#
2&FinalMark+Grades)
Solutions to the Midterm
Solutions to the Q#2
 
Homework Assignments
Solution to Homework Assignments (Ch2-Ch4, Ch5, Ch 6, Ch7, Ch 10, Ch 11)
This page was updated on December 19, 2013.