Introduction to Stochastic Processes

Instructor: Richard A. Lockhart e-mail:
Office: TLX 10549        Phone: 291-3264

Web Site:

Richard Lockhart has pneumonia and is unable to attend work this week.

The 2000 final is now available. Solutions will NOT be posted. Midterm solutions have been posted.

Text: Introduction to Probability Models by Sheldon Ross (7th ed).

Course coverage

Review: Chapters 1, 2, 3 (5 hours)

Monte Carlo generation of Random Numbers. (2 hours)

Discrete Time Markov Chains: Chapter 4.1-4.4, 4.5.1 and 4.6 (6 hours)

Poisson Processes: 5.1-5.4. Sections 5.1 and 5.2 are review. (6 hours)

Continuous time Markov Chains. 6.1-6.5, 6.8. (6 hours)

Queuing and Inventory Models: simulation. (3 hours)

Brownian Motion. 10.1-10.4. (5 hours)

Analysis of Simulation data. (2 hours)

Web materials: Slides for the lectures are behind the links at the left. Assignment questions will be drawn from the text. I will be posting solutions.

Computing requirements: There may be a computational component to this course; details have yet to be determined.

Grading: Assignments 25%, Midterm 25% and Final 50%. The midterm will be in the week February 18 to 22.

Privacy Policy: The Math and Stat department has a policy on privacy under which students who desire so may have their homework returned in some private way; if you are such a student you should speak to me immediately.

Richard Lockhart