Professor Feng's Math 865 - Stochastic Processes I (Spring
will be made here from time to time, check back often.
1. Text: Markov Chains (Cambridge Series in
Statistical and Probabilistic Mathematics)
---by James R. Norris.
Publisher: Cambridge University Press, 1997.
2. Professor Jin Feng's Office: 510 Snow Hall, Phone:
Office hour: Tuesday, Friday 3:50-4:45 pm or by appointment.
Lecture time: Tuesday and Thursday. 1:00-2:15 pm at 456
3. Exams: TBA.
4. Homework: Assignments will be announced
during the lectures.
5. Course information:
Keywords: Discrete time and continuous time Markov
Chains: transient, recurrence, invariant distributions and
ergodicity; Discrete time martingales, potential theory.
Prerequisite: Basic probability theory or permission of the
Credit Hours : 3
The aim of this course is to develop a set of tools for analyzing
discrete and continuous time Markov chains. Examples from
subjects outside math will be discussed to illustrate the