Syllabus ORIE6500 - Fall 2013 Applied Stochastic Processes

Instructor: Contact: Course time: Oce Hours: TA: Recitation hours: Oce Hours:

Patie, Pierre 220 Rhodes Hall, Oce 219, pp396@cornell.edu UPS 111, Tuesday: 10.10-11.25, Thursday: 10.10-11.25 RH 219, Tuesday: 2.30-3.30, Thursday: 2.30-3.30 Braverman, Anton, ab2329@cornell.edu PHL 213, Monday: 2.30-4.25 TBA, Tuesday 5-6 (tentavive)

Course description: An introduction to stochastic processes that presents the basic theory together with a variety of applications, assuming at least a one-semester calculus-based course in probability. A background in real analysis is an important advantage. The course covers tools (integration, transforms, inequalities), discrete time Markov chains, martingales in discrete time, renewal theory, and Poisson point processes. Continuous time Markov chains and/or Brownian motion will be covered if time permits Text: The required text is Resnick, S. I. Adventures in Stochastic Processes, Birkhuser, Boston, 1992. Further reading: (NOT required. Just for your interest or additional reading. Most are available on course reserve at Uris. Any edition is ne.) Ross, S. Introduction to Probability Models, Academic Press (Lower level). Ross, S. M. Stochastic Processes, Wiley. (Same level) Cinlar, E. Introduction to Stochastic Processes, Prentice-Hall, Englewood Clis, New Jersey, 1975 (same level). Heyman D., and Sobel, M. Stochastic Models in Operations Research, (Vol. 1), McGraw-Hill, 1982 (same level). Karlin and Taylor A First Course in Stochastic Processes, Academic Press, 1975 (same level). Kulkarni, V. Modeling and Analysis of Stochastic Systems (same level) Wol, R. Stochastic Modeling and the Theory of Queues, Englewood Clis, NJ, 1989 (same level). Billingsley, P. Probability and Measure, Wiley. (Higher level). Any edition ok. Breiman, L. Probability, SIAM, 1992. (Higher level).

Each student in this course is expected to abide by the Cornell University Code of Academic Integrity. Any work submitted by a student in this course for academic credit will be the students own work. For this course, collaboration is allowed only in the following instances: when preparing homework, you may discuss the problems together, but you should write up your homework yourself.

Homework: Homework problems will be collected and graded approximately bimonthly. While it is acceptable to work in groups on homework problems, each student must turn in a separate assignment; identical solutions are not acceptable.

Quizzes: Every couple of weeks, a 20-minute in-class quiz will test your grasp of the material covered in class in the previous two weeks. It might also include questions on the previous homework problems. You will not be allowed to use textbooks, notes, or any other aid during the quizzes.

Grading: Final grade based on: Homework Quizzes (best 4 out 6) Final exam 30% 30% 40 %

Schedule: Final Exam:TBA. 3-Sept-13 16-Sept-13 30-Sept-13 7-Oct-13 21-oct-13 4-Nov-13 18-Nov-13 2-Dec-13 HW 0 HW 1 HW 2 HW 3 HW 4 HW 5 HW6

H0 H1 H2 H3 H4 H5 H6

HQuiz HQuiz HQuiz HQuiz HQuiz HQuiz

1 2 3 4 5 6

HW: Homework posted on Blackboard H: Homework due Hquiz: Quiz