Text: Introduction to Stochastic Processes with R by R. Dobrow (textbook R scripts and errata)
(freely available as Ebook through Five Colleges library catalog and through Moodle course page)
Date 
Topic 
Assigned Work and Class Materials 
1/221/26  
M 
1.11.3 Introduction to stochastic processes and R To install: R and RStudio To use via server: r.amherst.edu 
Appendix A: 3.1, 3.2, 4.1, 4.4, 8.2, 9.1, 9.2 (due Mon 1/29) 
W 
1.4 Review of conditional probability  R script for Chapter 1 demos 
Th  1.5 Review of conditional expectation  
F 
2.12 Markov chains  R script for Section 2.1 demos 
1/292/2 

M 
2.3 MC computations 
Exercises 2.2, 2.4, 2.5, 2.16, 2.27 (due Mon 2/5) 
W 
2.4 Longterm behavior  R script for Section 2.4 demos 
Th 
Markov chain diffusion (due Wed 2/7)  
F 
3.13.2 Limiting and stationary distributions  R script for Section 3.1 demos 
2/59 

M 
3.3 The way to state a  Exercises 3.3, 3.5, 3.10, 3.14, 3.27, 3.29 (due Mon 2/12) 
W 
3.3, cont'd  
Th 
3.4 Irreducible Markov chains  R script for Section 3.4 demos 
F 
3.5 Periodicity  R script for Section 3.5 demos 
2/122/16  
M 
3.67 Ergodic/Reversibility  Exercises 3.37, 3.46, 3.47, 3.59, 3.68 (due Mon 2/19) 
W 
3.8 Absorbing chains  R script for Section 3.8 demos R script for Section 3.8 examples 
Th 
Walk on a Graph and graph (due Mon 2/19)  
F 
Walk on a Circle (due Wed 2/21)  
2/192/23 

M 
Review  Takehome exam 1 (due Mon 2/26) 
W 
4.12 Branching processes intro  R script for Section 4.2 demos 
Th 
4.3 Prob generating functions  R script for Section 4.3 demos Mathematics demo for prob gen fn 
F 
4.4 Extinction  R script for Section 4.4 demos 
2/263/2 

M  Branching processes (due Fri 3/2)  Exercises 4.12, 4.14, 4.15, 4.17, 4.31 (due Mon 3/5) 
W 
5.1 Markov chain Monte Carlo intro  R script for Section 5.1 demos 
Th 
5.2 MetropolisHastings  
F 
Rejection Sampling (due Wed 3/7)  
3/53/9 

M 
Decryption (due Fri 3/9) AustenCount input file Encrypted message Helper R script 
Exercises 5.1, 5.5 (due Mon 3/19) 
W 
5.3 Gibbs sampler  
Th 
6.1 Poisson processes intro  
F 
6.2 Arrival and interarrival times  R script for Section 6.2 demos 
3/103/18 
Spring Recess  
3/193/23  
M 
Poisson processes and data file (due Fri 3/23)  Exercises 6.1, 6.3, 6.6, 6.7, 6.8, 6.15 (due Mon 3/26) 
W 
6.3 Infinitesimal probabilities  
Th 
Finish chapter 6  
F 
Coupon collector (due Mon 3/26)  
3/2630 

M 
Review  Takehome exam 2 (due Mon 4/2) 
W 
7.12 Continuoustime MC intro  
Th 
7.3 Infinitesimal generator  R script for Section 7.3 demos 
F 
7.4 Longterm behavior  R script for Section 7.4 demos 
4/24/6 

M 
7.5 Time reversibility  Exercises 7.2, 7.4, 7.6, 7.21, 7.23, 7.33 (due Mon 4/9) Mathematica demo 
W 
7.6 Queueing theory  Project topic due today 
Th 
Queueing (due Wed 4/11)  
F 
8.1 Brownian motion intro  R script for Section 8.1 demos 
4/94/13 

M 
8.2 Random walk 
(No assigned exerciseswork on project) R script for Section 8.2 demos 
W 
Brownian Motion (due Fri 4/13)  
Th 
8.4 Transformations and properties  Outline of project due today 
F 
8.5 Variations and applications  R script for Section 8.4 demo 
4/164/20 

M 
8.6 Martingales  Exercises 8.2, 8.4, 8.5(b), 8.11, 8.23, 8.31 (due Mon 4/23) 
W 
Polya's Urn (due Fri 4/20)  
Th 
9.1 Stochastic calculus intro 9.2 Ito integral 

F 
No class 

4/234/27 

M 
Presentations 
(No assigned exerciseswork on project) 
W 
Presentations  
Th 
Presentations 

F 
Presentations  
Takehome third exam due 4pm Thurs May 10  Project reports due 4pm Tues May 8 