SEEM 3570: Stochastic Models

2013-14 Second Term


Announcements


General Information

  • Instructor: Anthony Man-Cho So (manchoso at se.cuhk.edu.hk)
  • Office Hours: Thursdays 10:00am - 12:00pm or by appointment, in ERB 604
  • Lecture Time/Location: Thursdays 2:30pm - 5:15pm, in SWH 1 (Fung King Hey Bldg Swire Hall 1)
  • Teaching Assistants:
    • Wenzhou Luo (wzluo at se.cuhk.edu.hk)
      • Office Hours: Wednesdays 4:00pm - 5:00pm, in ERB 615
    • Weijie Wu (wwu at se.cuhk.edu.hk)
      • Office Hours: Thursdays 1:00pm - 2:00pm, in ERB 905
    • Chi Zhang (zhangc at se.cuhk.edu.hk)
      • Office Hours: Fridays 12:30pm - 1:30pm, in ERB 615
  • Tutorial Time/Location:
    • Session 1: Mondays 5:30pm - 6:15pm, in ERB 407
    • Session 2: Mondays 6:30pm - 7:15pm, in ERB 407

Course Description

In this course we will develop techniques for incorporating randomness in models of real-world phenomena and study how to analyze such models using tools from probability and statistics. Specifically, we will first study econometric models that arise in the business, finance, and more generally, social sciences areas, and see how they can be used for forecasting and policy analysis purposes. In the process, we will develop the necessary statistical machinery to analyze those models. Then, we will cover the basics of stochastic processes, with particular emphasis on the theory of Markov chains. Applications, such as queueing systems, random walks and birth-death processes, will be used to illustrate the theory.

Students should have workable knowledge in basic probability and statistics, at the level of SEEM 2430 or equivalent.

Course Requirements

  • Homework sets (30%)
  • Midterm Examination (30%)
  • Final Examination (40%)

Learning Resources

Students may find the following textbooks useful for this course:
  • Richard A. Johnson, Probability and Statistics for Engineers (8th Edition), Pearson Education, Inc., 2010.
  • Frederick S. Hillier, Gerald J. Lieberman, Introduction to Operations Research (9th Edition), McGraw-Hill, Inc., 2010.
  • Robert S. Pindyck, Daniel L. Rubinfeld, Econometric Models and Economic Forecasts (4th Edition), McGraw-Hill, Inc., 1997.
  • Sheldon M. Ross, Introduction to Probability Models (10th Edition), Academic Press, 2009.
Supplementary material will also be posted below as the course progresses.

Handouts

Tutorial Notes

Homework Sets (Assignment Box: D07)


Last Updated: April 14, 2014