Class schedule - Fall 2019

Date Description Slides  Homework
Wed. 8/28 Introductions, class organization, motivating example Block 1  
Mon. 9/2 Labor day - No class    
Wed. 9/4 Probability spaces, conditional probability, independence Block 2a  
Mon. 9/9 Random variables, discrete and continuous, expectations   HW1 due
Wed. 9/11 Multiple RVs, joint distribution, expectations    
Mon. 9/16 Bounds, convergence notions and limit theorems Block 2b  
Wed. 9/18 Conditional probabilities, distributions and expectations   HW2 due
Mon. 9/23 Markov chains, examples, Chapman-Kolmogorov equations Block 3a  
Wed. 9/25 Gambler's ruin problem, discrete-time queuing models    
Mon. 9/30 Classes of states, irreducible Markov chains   HW3 due
Wed. 10/2 Limiting distributions Block 3b  
Mon. 10/7 Ergodicity   HW4 due
Wed. 10/9 Ranking of nodes in graphs Block 3c  
Mon. 10/14 Fall term break - No class    
Wed. 10/16 Exponential times, memoryless property, counting processes Block 4a HW5 due
Mon. 10/21 Poisson processes, interarrival times, definitions, examples    
Wed. 10/23 Continuous-time Markov chains, birth and death processes Block 4b HW6 due
Fri. 10/25 Midterm review lecture    
Mon. 10/28 Midterm in CSB 209    
Wed. 10/30 Traveling to SHPE National Convention - No class    
Mon. 11/4 Transition probability function, Kolmogorov's equations    
Wed. 11/6 Limiting distributions, ergodicity, balance equations   HW7 due
Fri. 11/8 Queuing theory, M/M/1, M/M/2, queue tandem Block 4c  
Mon. 11/11 Traveling to IEEE GlobalSIP'19 - No class    
Wed. 11/13 Predator-prey population dynamics, Lotka-Volterra model Block 4d  
Fri. 11/15 Markov and Gaussian processes Block 5a  
Mon. 11/18 Brownian motion, geometric Brownian motion, white noise   HW8 due
Wed. 11/20 Arbitrages and risk neutral measure Block 5b  
Mon. 11/25 Black-Scholes formula for options pricing    
Wed. 11/27 Thanksgiving recess - No class    
Mon. 12/2 Stationary processes, implications, wide-sense stationarity Block 5c HW9 due
Wed. 12/4 Linear filtering of wide-sense stationary processes    
Mon. 12/9 Matched filter, Wiener filter   HW10 due
Wed. 12/11 Principal component analysis