Course: Math 505B, Applied Probability Theory II, Spring 2021
Prerequisite: MATH 505A
Course Content: Markov processes in discrete or continuous time; renewal processes; martingales; brownian motion and diffusion theory; random walks, inventory models, population growth, queuing models, shot noise.
Syllabus: here. Last update: 8 December 2020

Instructor: Steven Heilman, stevenmheilman(@-symbol)
Office Hours: Mondays, 930AM-1130AM, on zoom [link posted on blackboard]
Lecture Meeting Time/Location: Mondays, Wednesdays, and Fridays, 1PM-150PM, on zoom [link posted on blackboard]
TA: ...
TA Office Hours: ..., held online in the Math Center.

Recommended Textbook: Grimmett and Stirzaker, Probability and Random Processes, 3rd Edition.
Other Textbooks (not required): I will be drawing on various sources in the course, such as:
Durrett, Probability: Theory and Examples, 4th Edition. (A draft of the book is available online here).
Dembo's notes available here .
Feller, An Introduction to Probability Theory and its Applications, Volumes 1 and 2. This set of two books is encyclopedic and very detailed.
Ledoux, The Concentration of Measure Phenomenon. I will include a few results from this book near the end of the course.

First Midterm:  Friday, February 19, 1PM-150PM
Second Midterm: Monday, March 29, 1PM-150PM
Final Exam: Wednesday, May 5, 2PM-4PM
Other Resources: An introduction to mathematical arguments, Michael Hutchings, An Introduction to Proofs, How to Write Mathematical Arguments

Zoom Classroom Conduct: Students should attend zoom lectures in a considerate way and abide by the following rules of decorum. Failure to do so could result in a diminished participation grade. It is preferable (though not required, for equity reasons) that all students have a webcam on during the lecture.
Zoom Security: The zoom links posted on blackboard should not be shared with anyone. You must log into zoom with your USC email address. No one will be admitted to the lecture from the "waiting room" (if you are in the waiting room, you did not log in with your USC email address).
Zoom Technical Support: Technical support for undergraduate students is provided through USC's ITS. Below is the contact information.
Undergraduate Student Technology Support
Phone: 213-740-5555

Lecture Recording: Zoom lectures will be recorded and posted on the blackboard site. It is USC policy to prohibit the sharing of any recording of course lectures with others. Similarly, you should not create your own recording of the lectures.
Time Zone Issues: If the course lectures, office hours, or exam schedules occur outside the range of 7AM-10PM in your current time zone, please alert me to this fact as soon as possible. Late notification of such an issue (e.g. the day before an exam) may result in a denied rescheduling request.

Email Policy:

Exam Procedures: If enrollment is ten or lower, midterm exams will be oral exams, where I ask each person questions individually, over zoom (probably for 10-20 minutes). If enrollment goes higher than ten, the midterms will be 24-hour take-home exams, to be submitted on blackboard. In the midterm exams, you are allowed to consult your homeworks, your notes, and your textbook, but these are the only resources you are allowed to use during the exams. So, you are not allowed to use the internet, internet searches, a friend or assistant, etc. Phones must be turned off. If you anticipate issues with a stable internet connection (for obtaining/uploading the exam), issues with obtaining a suitable exam environment, etc., please let me know as soon as possible and we can try to come up with a solution to these issues. Cheating on an exam results in a score of zero on that exam. Exams can be regraded at most 15 days after the date of the exam. This policy extends to homeworks as well. All students are expected to be familiar with the USC Student Conduct Code. (See also here.)
Disability Services: If you are registered with disability services, I would be happy to discuss this at the beginning of the course. Any student requesting accommodations based on a disability is required to register with Disability Services and Programs (DSP) each semester. A letter of verification for approved accommodations can be obtained from DSP. Please be sure the letter is delivered to me as early in the semester as possible. DSP is located in 301 STU and is open 8:30am-5:00pm, Monday through Friday.
213-740-0776 (phone)
213-740-6948 (TDD only)
213-740-8216 (fax)

Discrimination, sexual assault, and harassment are not tolerated by the university. You are encouraged to report any incidents to the Office of Equity and Diversity or to the Department of Public Safety This is important for the safety whole USC community. Another member of the university community - such as a friend, classmate, advisor, or faculty member - can help initiate the report, or can initiate the report on behalf of another person. The Center for Women and Men provides 24/7 confidential support, and the sexual assault resource center webpage describes reporting options and other resources.

Exam Resources: Here are some exams from some related classes: Exam 1 Exam 1 Solutions Exam 2 Exam 2 Solutions Final Final Solutions. Exam 1 Solution Exam 2 Solution Final Solution. Exam 1 Exam 1 Solutions Exam 2 Exam 2 Solutions Final Final Solutions. Occasionally these exams will cover slightly different material than this class, or the material will be in a slightly different order, but generally, the concepts should be close.

Homework Policy:

Grading Policy:

Tentative Schedule: (This schedule may change slightly during the course.)

Week Monday Tuesday Wednesday Thursday Friday
0 Jan 15: Review
1 Jan 18: No class Jan 20: Review Jan 22: Review
2 Jan 25: 6.1, Markov chains Jan 27: 6.2, Classification of States Jan 29: Homework 1 due. 6.2, Classification of States
3 Feb 1: 6.4, Stationary Distribution Feb 3: 6.4, Stationary Distribution Feb 5: 6.4, Limiting Behavior
4 Feb 8: 6.5, Reversibility Feb 10: 6.9 Continuous-time Markov chains Feb 12: Homework 2 due. 6.10, Uniform semigroups
5 Feb 15: No class Feb 17: 5.3, Random Walks Feb 19: Midterm #1
6 Feb 22: 5.3, Random Walks Feb 24: 5.3, Random Walks Feb 26: Homework 3 due, 5.3, Random Walks
7 Mar 1: 7.7, Martingales Mar 3: 7.7, Martingales Mar 5: 12.1, Martingales
8 Mar 8: 12.2, Concentration Mar 10: 12.4, Stopping Times Mar 12: Homework 4 due. No class
9 Mar 15: 12.5, Optional Stopping Mar 17: 6.8, Poisson Process Mar 19: 6.8, Poisson Process
10 Mar 22: 6.8, Poisson Process Mar 24: 10.1, Renewal Theory Mar 26: Homework 5 due, 10.2, Renewal Theory
11 Mar 29: Midterm #2 Mar 31: 13.1, Brownian Motion Apr 2: 13.2, Brownian Motion
12 Apr 5: 13.3, Diffusion Processes Apr 7: No class Apr 9: Homework 6 due, 13.4, Passage Times
13 Apr 12: 13.5, Barriers Apr 14: 13.6, Brownian Bridge Apr 16: 13.7, Stochastic Calculus
14 Apr 19: 13.8, Itô Integral Apr 21: 13.8, Itô Integral Apr 23: Homework 7 due, 13.9, Itô Formula
15 Apr 26: 13.10, Option Pricing Apr 28: Review of course Apr 30: No class

Advice on succeeding in a math class:


Homework tex files

Supplementary Notes