Class schedule - Fall 2023

Date Description Slides Homework
Wed. 8/30 Introductions, class organization, motivating example Block 1  
Mon. 9/4 Labor day - No class    
Wed. 9/6 Probability spaces, conditional probability, independence Block 2a HW1 due
Mon. 9/11 Random variables, discrete and continuous, expectations    
Wed. 9/13 Multiple RVs, joint distribution, expectations    
Fri. 9/15 Bounds, convergence notions and limit theorems Block 2b  
Mon. 9/18 Traveling to DARPA Project Review Meeting- No class    
Wed. 9/20 Traveling to DARPA Project Review Meeting- No class   HW2 due
Fri. 9/22 Conditional probabilities, distributions and expectations    
Mon. 9/25 Markov chains, examples, Chapman-Kolmogorov equations Block 3a  
Wed. 9/27 Gambler's ruin problem, discrete-time queuing models    
Mon. 10/2 Classes of states, irreducible Markov chains   HW3 due
Wed. 10/4 Limiting distributions Block 3b  
Mon. 10/9 Ergodicity    
Wed. 10/11 Ranking of nodes in graphs Block 3c  
Mon. 10/16 Fall break - No class   HW4 due
Wed. 10/18 Exponential times, memoryless property, counting processes Block 4a  
Fri. 10/20 Poisson processes, interarrival times, definitions, examples    
Mon. 10/23 Continuous-time Markov chains, birth and death processes Block 4b HW5 due
Wed. 10/25 Traveling to IA@Litoral 2023 - No class    
Mon. 10/30 Traveling to Asilomar 2023 - No class   HW6 due
Wed. 11/1 In-class midterm exam    
Fri. 11/3 Transition probability function, Kolmogorov's equations    
Mon. 11/6 Limiting distributions, ergodicity, balance equations   HW7 due
Wed. 11/8 Queuing theory, M/M/1, M/M/2, queue tandem Block 4c  
Mon. 11/13 Predator-prey population dynamics, Lotka-Volterra model Block 4d  
Wed. 11/15 Markov and Gaussian processes Block 5a  
Mon. 11/20 Brownian motion, geometric Brownian motion, white noise    
Wed. 11/22 Thanksgiving recess - No class    
Mon. 11/27 Arbitrages and risk neutral measure Block 5b  
Wed. 11/29 Black-Scholes formula for options pricing   HW8 due
Mon. 12/4 Stationary processes, implications, wide-sense stationarity Block 5c  
Wed. 12/6 Linear filtering of wide-sense stationary processes   HW9 due
Fri. 12/8 Matched filter, Wiener filter    
Mon. 12/11 Traveling to CAMSAP 2023 - No class    
Wed. 12/13 Traveling to CAMSAP 2023 - No class   HW10 due