References
The textbook for the class is
- Sheldon M. Ross “Introduction to Probability Models”, Academic Press, 9th ed.
Those of you interested in delving into some topics may be interested in the following books
- Sheldon M. Ross “Stochastic Processes”, John Wiley & sons, 2nd ed. A similar book by the same author that is used for graduate-level classes on stochastic processes. It contains essentially the same material as the class’s textbook except that the presentation has more rigor and proofs of theorems are given.
- Darren J. Wilkinson “Stochastic Modelling for Systems Biology”, Chapman & Hall/CRC, 1st ed. An accessible introduction to the use of stochastic systems in the modeling of biological systems. The part of the class dealing with simulation of biochemical reactions follows the treatment in this book.
- Masaaki Kijima “Stochastic Processes with Applications to Finance”, Chapman & Hall/CRC, 1st ed. Use of stochastic processes in finance.
Prerequisites
This a junior level class that you can take it on your senior year as well. Some sophomores have taken this class in the past, they struggled through the first two or three weeks but did fine afterward. The class is self contained to the extent possible. Important tools are always described when introduced. That said, to take this class it is beneficial to have good knowledge of Probability Theory and Linear Algebra. Familiarity with differential equations and Fourier transforms is helpful. If the latter two things are unknown to you it shouldn’t be a problem. If you are not fluent in the former two topics, Probability Theory and Linear Algebra, you will need to learn them as we go. The decision on whether to take the class or not is yours, not mine. If you want to ask my opinion, you can find me at my office in Levine 362 or send me an email.
For homework assignments we will use Matlab. Programming in Matlab is easy. If you have not used it before you will need a couple of days worth of work to pick up the basics. Matlab’s user guide can be downloaded from here.
Grading
We will have a midterm and a final valued at 36 points each. We will also have 14 weekly homework assignments valued at 2 points each. If your homework is truly outstanding, you will be awarded 3 points for it. The grade scale is the usual. At least 60 points are required for passing, a C requires at least 70 points, a B at least 80 and an A at least 90. In earlier editions of this class 3/4 of students scored A’s (between A+ and A-).
Office Hours
The professor teaching this class is Alejandro Ribeiro. He holds office hours on Wednesdays from 11am to noon at 3401 Walnut, room 411B. The class meets on Mondays, Wednesdays, and Fridays from 10am to 11am in Moore 216.
The teaching assistant for this class is Vinicius Lima. Office hours will be held on Thursdays from 9 to 11am at 3401 Walnut room 417B. Any schedule change will be communicated through the class’s email list. If for some reason you cannot make it during this time, you can email ese303@seas.upenn.edu to schedule an appointment at some other time.
Emails with questions about office hours, homework, or anything else related to the course should be sent to ese303@seas.upenn.edu.