MATH 777, FALL 2005
Stochastic Processes --- Simple Random Walk
MW 11:40 -- 12:55 , 206 Malott
Greg Lawler, 567 Malott
Office Hours: F 11:40 -- 12:40 and by appointment
This is a course on random walk on the lattice focusing on simple
random walk.
I will writing notes for the course --- the notes will become a book at
some point. I will
post the notes here.
Notes
(last modified Nov 21 9:20 am)
In
pdf format
There will also be HW exercises --- the statements of the problems will
be in the notes.
I will list the problem numbers as we go along. There is a chance
that problem numbers may change as the file gets revised. I will
always give the problem number as in the most recent version
of the notes.
PS1 (due Sept 7) 1.1, 1,2, 1.3, 1.4
PS2 (due Sept 14) 2.1, 2.2, 7.1
PS3 (due Sept 21) 2.3 (This needs to be corrected --- we should
assume that the walk is in P', i.e., mean zero, finite variance
but no other assumptions. If you wish, you can restrict to the
d=1 case.)
PS4 (due Oct 5) 4.3, 4,4, 4.5
PS5 (due Oct 19) 4.6, 4.7
i
PS6 (due Oct 26) 6.4, 6.5, 6.6
I have put two books on reserve,
Lawler, Intersections of Random Walks
Spitzer, Principles of Random Walk