STATS 217: Introduction to Stochastic Processes I.

This course is the first of a two-quarter sequence (along with STATS 218) exploring the rich theory of stochastic processes and some of its many applications. The main topics covered this quarter are random walks, Poisson processes, discrete and continuous time Markov chains, and branching processes.

Instructor: Vishesh Jain. visheshj at stanford dot edu. Office hours: Wednesday, Friday: 11:00 AM PST - 11:45 AM PST.

Teaching Assistants:

Sohom Bhattacharya. sohomb at stanford dot edu
Michael Feldman. feldman6 at stanford dot edu
Disha Ghandwani. disha123 at stanford dot edu

The office hours for each week will be announced in the section on Homework below.

Lectures: Monday, Wednesday, Friday, 10:00 AM PST to 11:00 AM PST on Zoom. A recording of the lectures will be made available on Canvas. Click either on "Panopto Course Videos" or "Zoom-->Cloud Recordings".
For issues related to technology, please refer to Technology and Support for Students.

Textbooks: Essentials of Stochastic Processes by Durrett. Available freely here. Some other textbooks that you might find useful are:

Markov Chains and Mixing Times by Levin, Peres, and Wilmer.
Introduction to Stochastic Processes by Cinlar.
Introduction to Stochastic Processes by Hoel, Port, and Stone.
An Introduction to Stochastic Modeling by Pinsky and Karlin.
Introduction to Stochastic Processes by Ross.
Stochastic Processes by Ross.

Prerequisites: STATS 116 or equivalent. In particular, I will assume that you are very comforable with Appendix A in Durrett's book.

Grading: Your final grade will be determined completely by your performance on weekly problem sets.

On each problem set, there will be a small number of starred problems. You can obtain a grade of A- without solving almost any of the starred problems. However, in order to obtain a grade of A (respectively, A+), I will require that you demonstrate the ability to understand and solve some (respectively, most) of the starred problems.
On each week's problem set, you may work in groups of up to 3, but each student must write up their own solutions separately. You should write the names of all your collaborators on the first page of your submission.
You may vary your collaboration group from week to week.
Late submissions will not be allowed unless an exception has been made by the Office of Accessible Education. However, I will drop your worst homework in computing the final grade.

Academic integrity: Students are expected to uphold the Honor Code and the Fundamental Standard in a remote teaching and learning environment. The Office of Community Standards and the Board on Judicial Affairs has published guidance for instructors and students for this period of remote education.
This guidance has been updated for AY 2020-21: “In all cases, it is not permissible for students to enter exam questions into any software, apps, or websites. Accessing resources that directly explain how to answer questions from the actual assignment or exam is a violation of the Honor Code.”
Please refer to the recommendations and resources here: Remote Learning and the Honor Code: Tips for Students.

Accommodations: It is extremely important that everyone has a fair chance to succeed in this course. Please contact me as well as the Office of Accessible Education as soon as possible to discuss accommodations.

Lectures.

01/11. Slides. Annotated.
01/13. Slides. Annotated.
01/15. Slides. Annotated.
01/18. Martin Luther King, Jr., Day. Holiday, no class.
01/20. Slides. Annotated.
01/22. Slides. Annotated.
01/25. Slides. Annotated.
01/27. Slides. Annotated.
01/29. Slides. Annotated.
02/01. Slides. Annotated.
02/03. Slides. Annotated.
02/05. Slides. Annotated.
02/08. Slides. Annotated.
02/10. Slides. Annotated.
02/12. Slides. Annotated.
02/15. President's Day. Holiday, no class.
02/17. Slides. Annotated.
02/19. Slides. Annotated.
02/22. Slides. Annotated.
02/24. Slides. Annotated.
02/26. Slides. Annotated.
03/01. Slides. Annotated.
03/03. Slides. Annotated.
03/05. Slides. Annotated.
03/08. Slides. Annotated.
03/10. Slides. Annotated.
03/12. Slides. Annotated.
03/15. Slides. Annotated.
03/17. Slides. Annotated.
03/19. Slides. Annotated.

Homework.

Please upload your solutions to Gradescope. You are encouraged to use LaTeX to write up your solutions.

Homework 1. Due 7:00 AM PST on 01/23. Graded by Disha Ghandwani. Office hours: January 21. 11:00 AM PST to 12:30 PM PST and 5:00 PM PST to 6:30 PM PST.
Homework 2. Due 7:00 PM PST on 01/30. Graded by Michael Feldman. Office hours: January 26, 3:00 PM PST to 4:30 PM PST and January 28, 5:00 PM PST to 6:30 PM PST.
Homework 3. Due 7:00 PM PST on 02/06. Graded by Sohom Bhattacharya. Office hours: February 2, 3:00 PM PST to 4:30 PM PST and February 4, 5:00 PM PST to 6:30 PM PST.
Homework 4. Due 7:00 PM PST on 02/13. Graded by Disha Ghandwani. Office hours: February 9, 12:00 PM PST to 1:30 PM PST and February 11, 6:00 PM PST to 7:30 PM PST.
Homework 5. Due 7:00 PM PST on 02/20. Graded by Michael Feldman. Office hours: February 16, 3:00 PM PST to 4:30 PM PST and February 18, 5:00 PM PST to 6:30 PM PST.
Homework 6. Due 7:00 PM PST on 02/27. Graded by Sohom Bhattacharya. Office hours: February 23, 3:00 PM PST to 4:30 PM PST and February 25, 5:00 PM PST to 6:30 PM PST.
Homework 7. Due 7:00 PM PST on 03/06. Graded by Disha Ghandwani. Office hours: March 2, 12:00 PM PST to 1:30 PM PST and March 4, 6:00 PM PST to 7:30 PM PST.
Homework 8. Due 7:00 PM PST on 03/13. Graded by Michael Feldman. Office hours: March 9, 3:00 PM PST to 4:30 PM PST and March 11, 5:00 PM PST to 6:30 PM PST.
Homework 9. Due 7:00 PM PST on 03/19. Graded by Sohom Bhattacharya. Office hours: March 16, 3:00 PM PST to 4:30 PM PST and March 18, 5:00 PM PST to 6:30 PM PST.