Lectures schedule (L01)

Tutorials schedule (T01)

Monday/Wednesday/Friday
15:0015:50 (SA124A)

None 
Midterm and Quizzes:
There will be 1 Midterm (November 2, Monday, 15:00am, SA124A)
and 2 Quizzes (Mondays, October 5 and November 30, 15:00am,
SA124A).
Final Exam: Wednesday,
December 16, 2015, 3:305:30pm; PlaceST 147
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

30%

Nov 2, 2015, Monday,
15:00, SA124A 
Quizzes (2)

20%=2x10%

Oct
5&Nov30, Monday, 15:00, SA124A 
Final Exam  50%  Wednesday,
December 16, 2015, 3:305:30pm; PlaceST 147 
Homework Assignments 
Not for Credit but for your
practice 
Month 
Day 
Wednesday 
Day 
Friday 
Day 
Monday 
Sep 
9 
Lec1: Intro to Probability Theory (Appendix: Basic in Probability) 
11 
Lec2:
Stochastic Processes (2.9) 
14 
Lec3:
Markov Chains (MC): Introduction (4.1) 
Sep 
16 
Lec4: MC: ChapmanKolmogorov Equations (4.2)  18 
Lec5: MC: Classification of States (4.3): Accessible States, Classes, Irreducible MC  21 
Lec6: MC: Classification of States (4.3): Recurrent and Transient States; Random Walk 
Sep 
23 
Lec7: MC: Limiting Probabilities (4.4)  25 
Lec8: MC: Limiting Probabilities (4.4)  28 
Lec9: MC: Some Applications (4.5) 
SepOct 
30 
Lec10: MC: Mean Time Spent in Transient States
(4.6) 
2 
Lec11: Exponential
distribution (5.2.1) 
5 
Quiz#1 
Oct 
7 
Lec12: PP: Counting Process ( 5.3.1) and Definition of PP (5.3.2)  9 
Lec13: PP: Waiting Time Distribution (5.3.3)  12 
Thanksgiving Day (No Lecture) 
Oct 
14 
Lec14: PP: Further Properties (5.3.4)  16 
Lec15: PP: Conditional Distribution of Arrival Times (5.3.5)  19 
Lec16: PP: Sampling of PP (5.3.5) 
Oct 
21 
Lec17: PP: Generalizations (5.4.1)  23 
Lec18: PP: Compound PP (5.4.2)  26 
Lec19: PP: Mixed PP (5.4.3) 
OctNov 
28 
Lec20: Continuoustime Markov Chains (CTMC): Intro (6.16.2)  30 
Lec21: CTMC: Birth& Death Processes (6.3) and Transition Probability Function (6.4)  2 
MIDTERM 
Nov 
4 
Lec22: CTMC: ChapmanKolmogorov Equations (6.4)  6 
Lec23: CTMC:
Limiting Probabilities (6.5) 
9 
Lec24: CTMC: Computing the Transition Probabilities (6.8) 
Nov 
11 
Reading Day (No Lecture)  13 
Reading Day (No Lecture)  16 
Lec25: Renewal Theory: Intro (7.1) 
Nov 
18 
Lec26: Renewal Theory: Some Distributions (7.2)  20 
Lec27: Renewal Theory: Limit Theorems (7.3)  23 
Lec28: Brownian Motion (BM) (10.1); 
Nov 
25 
Lec29: BM: Variations and
Martingales Properties (10.3) 
27 
Lec30: BM: Pricing Stock Options and BlackScholes Formula (10.4.110.4.4)  30 
Quiz#2 
Dec 
2 
Lec31: Stationary Processes (10.7)  4 
Lec32: Simulation Methods
(11.211.3) Table of Random Digits 
7 
Lec33:
Simulation Methods (11.411.5) 

Homework
Assignments (Solutions to Chapters 211) TND TEF Laplace Table 