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CO905 Stochastic Processes

Online Course Materials 2008


Lecturer: Stefan Grosskinsky

A preliminary full version of the course notes: notes_co905.pdf
(updated on 06.02.2008 with few corrections)

 

Viva Timetable

The vivas will take place in Ellak Somfai's office PS103 on Monday, 11th February.

10:00 Tristan Webb   14:00 Andrew Wood
10:30 Steven Hill   14:30 James Porter
11:00 Marina Diakonova   15:00 Paul Chelboun
11:30 Jamie Luo      
12:00 Jason Brentnall      

 

 

 

 

 


Changes in the timetable

  • Monday, 4th Feb: Lectures from 9:00 to 11:00 and no classes
    due to the MIR@W day DisCoMaths - Discrete Complex Systems and Probability
    You are very welcome to attend!
  • Tuesday, 5th Feb: Classes from 3pm to 5pm instead of 1pm to 3pm
  • Thursday, 7th Feb: Revision classes from 10 to 12 in seminar room B0.13 in mathematics
    (PS017A is occupied)

 

Problem Sheets

  • sheet1 (conditional probability, conditional expectation, discrete time Markov chains)
  • sheet2 (continuous-time Markov chains, simulation of the Moran model)
    CORRECTION: 20 marks for programming!
    After a very useful discussion with Stephen more Remarks/CORRECTIONS:
    • in Q2.1(a): a diagram is just a picture containing the three states connected their jump rates
    • in Q2.4(c): measure the disctribution function of the NORMALIZED expected value (see sheet for details)
    • in Q2.4(d): use alpha=1+1/N and 1+10/N instead of 2 and 5
    • in Q2.4(e): use alpha=1 and 1+1/N instead of 1 and 2
    These changes can be found in the online version of the sheet above.
  • sheet3 - part1 (Brownian motion and Fokker-Planck equations)
    sheet3 - part2 (Brownian motion and martingales)
    CORRECTION: Definition of Brownian Bridge was wrong

 

Matlab and C stuff

 

Additional Literature

 

Important Relevant Scientists

Andrey Markov, Robert Brown, Andrey Kolmogorov, Albert Einstein, Paul Langevin, Norbert Wiener, Paul Lévy, Max Planck, Adriaan Fokker, Kiyoshi Itō