AMATH 572
SLN 1239, MW 3:30-4:50, Condon Hall 101
(Prerequisites: AMATH 402 and 506)

Introduction to Applied Stochastic Analysis

Instructor:

Professor Hong Qian
Guggenheim 408K
tel: 543-2584
fax: 685-1440
qian@amath.washington.edu
office hours: TBA

Course Description

Introduction to the theory of probability and stochasitc processes based on differential equations with applications to science and engineering. Poisson processes and continuous-time Markov processes, Brownian motions and diffusion. Prerequisite: AMATH/STAT 506, AMATH 402, or equivalent knowledge of probability and ordinary differential equations.

Syllabus

Learning Objectives and Instructor Expectations

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), molecular biology, 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.

Reading Materials

1. A paper by E.W. Montroll

Course Notes

Schedule and Homework

Follow links in the table below to obtain a copy of the homework in PostScript (.ps) or

Adobe Acrobat (.pdf) format. You may also obtain here solutions to some of the homework and exam problems. An item shown below in plain text is not yet available. For additional information regarding viewing and printing the homework and solution sets, click here.

Homework and Exams	Homework Due Date	Homework Problem Sets	Homework Solutions
First day of classes	Monday, March 27
Homework #1	Monday, April 10	Course Notes, Sec. 2.7, p. 10
Homework #2	Monday, April 17	Course Notes, Sec. 5.7, p. 18
Homework#3	Monday, May 8	Course Notes, Sec. 9.7, p. 31
Homework#4	Wednesday, May 24	Course Notes, Sec. 14.1, p. 42
Homework#5	Wednesday, May	#5 (.pdf)
Homework#6	Wednesday, May	#6 (.pdf)
Reading Week	Monday, May 24-28
Memorial Day	Monday, May 29	No class
Homework#7	Wednesday,	#7 (.pdf)
Last day of classes	Friday, June 2

Grading

You may view your homework and exam grades on-line. Before doing so for the first time, you must request a password.

<qian@amath.washington.edu>

Tue Mar 2 15:32:36 PST 2004