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EEB 528, 213-740-7229, ben.reichardt@usc.edu

ofce hours: Tuesday, Thursday 12:30-1:30pm or by appointment

TA: Parisa Mansourifard

RTH 419, 213-740-3759, parisama@usc.edu

ofce hours: TBA

Lectures: Tuesday and Thursday 11-12:20pm, OHE 132

Discussion: TBA

Class website: https://blackboard.usc.edu

Overview: This course provides a rigorous introduction to

probability theory and stochastic processes and is

geared towards rst- and second-year graduate students

in electrical engineering and to students in the nancial

engineering program, as well as computer science,

industrial and systems engineering and other departments. The course will do a quick

overview of basic concepts of probability theory including probability spaces, random

variables, expectation, and related convergence concepts. It will then introduce

stochastic processes, and key limit theorems. Other topics to be covered include

Poisson processes, renewal theory, discrete- and continuous-time Markov chains,

martingale theory, random walks, Brownian motion, stationary and Gaussian processes.

The later part of the course will also provide an introduction to stochastic integration and

stochastic differential equations, and cover applications in queueing theory, simulation

and nance.

Prerequisites: EE 465 or 464 or 503, and EE 441

Intended audience: The course is primarily intended for MS and PhD students in Engineering who like to

specialize in Financial Engineering, Communications, Controls, Networks and Signal

Processing and other relevant areas in Electrical Engineering, Industrial and Systems

Engineering, Computer Science, etc.

Textbooks: Primary text: Sheldon M. Ross, Stochastic Processes (2nd edition), 1996

Robert Gallagher, Stochastic Processes, 2013

Thomas Mikosch, Elementary Stochastic Processes With Finance in View, 1999

Grading: 15% homework, 35% midterm 1, 50% nal

Your lowest homework score will be thrown out before computing nal grades.

No late homework will be accepted. No make-up exams will be given.

You are encouraged to discuss homework problems among yourselves, but each

person must do their own work. Copying or turning in identical homework sets is

cheating.

You have one week from the date that a graded paper is returned to dispute the scoring

of a problem, by submitting a request in writing to me.

Outline: (each item roughly corresponds to one weeks material)

1. Overview of probability: Probability spaces, random variables, distribution functions, moment

generating functions, expectation, conditional probability and expectation, probability inequalities,

examples

2. Stochastic processes: Examples, notions of convergence, denition of a stochastic process,

independence, zero-one laws, laws of large numbers, central limit theorems, stable laws

EE 512: Evolution Theory of Stochastic Processes (Fall 2014)

3. The Poisson process: Denition, conditional distribution of the arrival times, non-homogeneous

Poisson process, compound Poisson random variables and processes

4. Renewal theory: Limit theorems, Walds identity, key renewal theorem, branching processes,

regenerative processes, stationary point processes

5. Discrete-time Markov chains: Examples in communication systems, Chapman-Kolmogorov equations,

limit theorems, time-reversible Markov chains, semi-Markov processes

6. Continuous-time Markov chains: Examples, birth-death processes, Kolmogorov differential equations,

limiting probabilities, time reversibility, uniformization, application to queueing theory, hidden Markov

models and the Baum-Welch algorithm

7. Martingales: Denition, martingale differences, level crossings, stopping times, Azumas maximal

inequality, sub-martingales, super-martingales, and the martingale convergence theorem

Midterm exam In class

8. Random walks: Denition, duality in random walks, exchangeable random variables, analysis using

martingales, ruin problems, application in queueing systems

9. Brownian motion and other Markov processes: Denition, continuity and non-differentiability of paths,

hitting times, maximum variable and arc sin laws

10. Variations on Brownian motion: Examples of diffusions, backward and forward diffusion equations,

Markov shot noise process, scale functions, speed measures, calculation of functionals of measures

11. Stochastic integration: Denition of It integral, It lemma, Chain rule of differentiation, Stratonovich

integral, connection to Riemann and Riemann-Stieltjes integral

12. * Stochastic differential equations and nance applications: It stochastic differential equations,

solution by the It lemma and the Stratonovich calculus, Girsanovs change of measure technique,

Black-Scholes formula

13. ** Simulation: General techniques for simulating continuous random variables, simulating stochastic

point processes, variance reduction techniques, sample complexity bounds, generating from the

stationary distribution of a Markov chain, Markov Chain Monte Carlo

Final exam

Important:

All students are expected to follow the rules for each exam. Any form of cheating or plagiarism

will lead to a severe penalty which is an F in the class. Assisting or facilitating cheating will also lead to

an F in the class.

If you nd the course difcult with a high risk to a grade you would not like to get, you may

consider dropping the class or see me early in the semester to review your progress and help you out

with understanding the material better.

After the class is over nothing can be done to change grades based on personal constraints or

any other excuse. If you encounter an emergency that prevents you from studying and doing well, let me

know right away.

Statement on Academic Integrity:

USC seeks to maintain an optimal learning environment. General principles of academic honesty include

the concept of respect for the intellectual property of others, the expectation that individual work will be

submitted unless otherwise allowed by an instructor, and the obligations both to protect ones own

academic work from misuse by others as well as to avoid using anothers work as ones own. All students

are expected to understand and abide by these principles. Scampus, the Student Guidebook, contains

the Student Conduct Code in Section 11.00, while the recommended sanctions are located in Appendix A:

EE 512: Evolution Theory of Stochastic Processes (Fall 2014)

http://www.usc.edu/dept/ publications/SCAMPUS/gov/. Students will be referred to the Ofce of Student

Judicial Affairs and Community Standards for further review, should there be any suspicion of academic

dishonesty. The Review process can be found at: http://www.usc.edu/student-affairs/SJACS/.

Statement regarding Plagiarism/Copying:

Plagiarism or copying of home-works is strictly forbidden, and will result in penalties. Repeat

plagiarism/copying by a student will be reported to Student Judicial Affairs and Community Standards for

possible probation. Specically, all the homeworks/exams must be written by students, individually. No

part of the homework should be copied from any other document including the solutions from books,

other students homework, etc.

Make sure to review the Behavior Violating University Standards and Appropriate Sanctions

section of the SCampus Student Guidebook.

http://web-app.usc.edu/scampus/1100-behavior-violating-university-standards-and-appropriate-sanctions/

Statement for Students with Disabilities:

Any student requesting academic accommodations based on a disability is required to register with

Disability Services and Programs (DSP) each semester. A letter of verication for approved

accommodations can be obtained from DSP. Please be sure the letter is delivered to me as early in the

semester as possible. Your letter must be specic as to the nature of any accommodations granted. DSP

is located in STU 301 and is open 8:30 am to 5:30 pm, Monday through Friday. The telephone number for

DSP is (213) 740-0776.

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