Stat 531 / Math 547 course page (Pemantle, Spring 2008)

MF 1:30-3:00 in JMHH F-38 except for the week of April 14-18.


Prof: Robin Pemantle, DRLB 4N22, x8-5978, pemantle@math.upenn.edu.
Office hours: I'm happy to meet with you any time -- just e-mail me or catch me after class to set up a time.
TA: Hui Nie JHMM 434, niehui@wharton.upenn.edu, 215-573-0537, office hours MON 3:30-5:30.





POSTED MATERIALS FOR THIS SEMESTER:

Course Description and Syllabus




Extra lecture notes

Handout with problems on conditional expectations

Handout on the Kesten-Stigum Theorem for branching processes

Handout on Azuma's inequality

Auxilliary lecture material for Chapter 5 (updated MAR 21, 2008)

Link to Markov Chain Monte Carlo survey by Roberts and Rosenthal

Link to discussion of strong uniforms times and coupling, excerpted from the monograph of P. Diaconis

"Probability on Trees and Networks" by R. Lyons and Y. Peres, chapters 1 and 2. (We will discuss parts of chapter 2.)

"Martin capacity for Markov chains" by I. Benjamini, R. Pemantle and Y. Peres . We will probably discuss this paper before spring break.

Auxilliary lecture notes on Brownian motion

Lectures on diffusions and stochastic calculus Version of Wednesday April 23, 2008




Homework

First homework set, due Friday February 08

Second homework set, due Monday March 3

Third homework set, due Friday April 4

Fourth homework set, due Monday May 5, 11:00 AM in my office

Take-home final exam, due at the end of the final exam time block for this course: 11:00 AM on Monday May 5 This will be posted before the end of the evening (midnight) of Thursday, May 1.

Data for Problem 2 (Microsoft Excel 2003 .xls format)
Data for Problem 2 (comma separated value .csv format)


Solutions

Solution to first homework assignment

Solution to second homework assignment





STUFF FROM LAST SEMESTER:


Lecture notes

Informal lecture notes on the first four sections of Chapter 1 and relevant appendices

Pointers to places in Durrett, relevant to first few lectures

The Fat Cantor set example

Alternate proof of (3.8) in chapter 1

Large deviation lecture (Section 1.9), preliminary typo-riddled version

Known typos in Durrett (third edition)

Lecture on Poisson approximation via the Chen-Stein method

Arratia-Goldstein-Gordon article on Poisson approximation
Survey version

Research article

Lecture on Poisson processes

Lecture on infinitely divisible distributions

Lecture on stable processes

Combinatorial argument at the heart (3.10) of Durrett's proof of Sparre-Andersen's result (3.8)



Homework

First homework set, due Monday October 1 (note: Problem 2 may be turned in on Monday September 24 for early feedback)

Second homework set, due Monday October 8
Math 546 version
Stat 530 version

Third homework set, due Friday November 2

Fourth homework set, due Monday November 20

Fifth homework set, due Dec. 7

Due date corrected, problem 3(c) corrected: Take home final exam, due Dec. 13 at 11:00 AM in my office or mailbox.




Solutions

Sample good and bad solutions

Solution to first homework assignment

Solution to second homework assignment, math version

Solution to second homework assignment, stat version

Solution to third homework assignment

Solution to fourth homework assignment