# Spring 2017: MTH 202

## Textbook

Lecture notes in PDF format will be provided by the instructor on a weekly basis. The main textbook to follow, at least initially, is

Sheldon M. Ross, Introduction to Probability Models,’’ Elsevier, U.S., U.K., 2010.

Supplementary textbooks of relevance are

Gregory F. Lawler, Introduction to Stochastic Processes,’’ Taylor & Francis Group, U.S.A., 2006.

Bernt Oksendal, Stochastic Differential Equations, An Introduction with Applications,’’ Springer-Verlag, Berlin, Heidelberg, New York, 2003.

## Prerequisites

Math 201 and Math 165

## Course description

#### Overview

This course deals with stochastic processes. Discussion will not be completely rigorous, but explanations will be intended to be complete.

Possible topics to be covered include reviews (probability theory, random variables, conditional probability and conditional expectation), Markov chains, exponential distribution and the Poisson processes, continuous-time Markov chains, renewal theory and its applications, Brownian motion and Ito’s calculus.