TMA4265 Stochastic Processes (fall 2010)
Messages
[24/11] THE EXAM PROBLEMS ARE WRITTEN IN ENGLISH. IF ANY OF YOU WANT TO HAVE THEM IN NORWEGIAN, PLEASE INFORM ME! IF I DO NOT HEAR FROM YOU, I SHALL ASSUME THAT YOU HAVE ACCEPTED THE ENGLISH VERSION. REMEMBER THAT ANY TRANSLATION RUNS THE RISK OF LOSING PRECISION.
[06/10] TA hours for the semester project: Monday, October 11, 16:15-18:00 in Room 380a ('Null-rommet') in 'Nordre lavblokk', and Thursday, October 14, 14:15-15:00 in R9. Students who do not have automatic access to Room 380a must send me their name and username. This applies to students outside the Industrial Mathematics Programme. On the project you may work alone or together with one other class mate.
[22/09] Øvind Bakke will do the lectures on Thursday morning (23/9). The semester project will be posted on Wednesday, October 6. The deadline for submission of your report will be Wednesday, October 20. You may work alone or together with one other person.
[17/09] NOTE! The exercise session on Thursday 30/9 is canceled due to the TA being out of town. If you have any questions regarding the exercise I (Haakon, the TA) will be available at my office during the following week (week 40), or just send me an email.
Textbook
Curriculum
Lecturer
Professor Arvid Næss. Office: 1144, S2. Email: arvidn@math.ntnu.no
TA
Haakon M. Austad. Office: 1022, S2. Email: haakonmi@math.ntnu.no
Schedule
Lectures : Monday 8:15 - 10:00, R9
Lectures : Thursday 8:15 - 10:00, S4
Exercises: Thursday 12:15 - 13, R9
Exam: Monday, December 13, 2010
Lectures
Date | Topic | Textbook |
23.08.10 | Conditional expectation. | Chapter 3 |
26.08.10 | Conditional expectation. | Chapter 3 |
30.08.10 | Conditional expectation. Markov chains. | Chapter 3 and Chapter 4: 4.1 |
02.09.10 | Markov chains | Chapter 4: 4.2 |
06.09.10 | Markov chains | Chapter 4: 4.3 |
09.09.10 | No lecture | — |
13.09.10 | Markov chains | Chapter 4: 4.3, 4.4 |
16.09.10 | Markov chains | Chapter 4: 4.4 |
20.09.10 | Markov chains | Chapter 4: 4.5 |
23.09.10 | Markov chains | Chapter 4: 4.5, 4.5.1 |
27.09.10 | Markov chains | Chapter 4: 4.6, 4.7 |
30.09.10 | Markov chains | Chapter 4: 4.7, 4.8 |
04.10.10 | Markov chains | Chapter 4: 4.8 |
07.10.10 | Markov chains | Chapter 4: 4.9 |
11.10.10 | Poisson process | Chapter 5: 5.2, 5.3 |
14.10.10 | Poisson process | Chapter 5: 5.3 |
18.10.10 | Markov chains | Chapter 6: 6.2, 6.3 |
21.10.10 | Markov chains | Chapter 6: 6.3, 6.4 |
25.10.10 | Markov chains | Chapter 6: 6.4, 6.5 |
28.10.10 | Markov chains | Chapter 6: 6.5 |
01.11.10 | Markov chains | Chapter 6: 6.6 |
04.11.10 | Queueing theory | Chapter 8: 8.2, 8.3.1 |
08.11.10 | Queueing theory | Chapter 8: 8.3.2, 8.3.3 |
11.11.10 | Queueing theory | Chapter 8: 8.4.1, 8.5.1, 8.5.2 |
15.11.10 | Queueing theory | Chapter 8: 8.5.3, 8.6.1 |
18.11.10 | Queueing theory | Chapter 8: 8.6.2, 8.9.1, 8.9.2 |
22.11.10 | Brownian Motion | Chapter 10: 10.1 |
25.11.10 | Brownian Motion | Chapter 10: 10.2, 10.3 |
Semester Project
Semester project. Deadline for submission is October 20.
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Results:
708090: 16
696502: 16
708101: 16
708188: 17
697376: 18
690688: 11
682584: 18
684444: 19
708185: 19
697396: 19
708685: 19
708684: 19
708108: 19
708194: 19
709483: 19
708082: 19
669327: 16
708956: 16
692621: 12
692550: 12
720206: 15
717311: 10
697414: 11
704828: 11
684833: 12
708099: 18
708087: 18
697363: 14
717310: 16
721063: 16
692611: 16
708109: 19
708832: 19
691206: 14
708112: 18
708092: 18
697365: 19
697393: 19
697421: 19
697342: 19
708184: 16
708182: 16
720685: 18
720681: 18
708102: 19
708117: 19
708096: 19
708084: 19
708115: 19
708134: 19
708131: 20
708153: 20
708147: 18
708179: 18
692610: 20
692586: 20
698965: 4
708154: 19
705825: 9
701692: 16
708078: 14
684044: 16
Exercises
Repetition exercise:
Chapter 1: 3, 12–13, 18, 36, 39, 44
Chapter 2: 12, 43, 64, 74
Old Exam Problems and Solutions
Exam Problems and Solutions