MS&E 322

Stochastic Calculus and Control

Assignments

Policy:

A homework will have a score reduced by 10% for each day of lateness, and will not be accepted on or after the fourth day of the due date (a solution will then be posted). For example, a solution to the first problem set will be posted on Feb 5th(Tue) and no answers will be accepted afterward. Counting of lateness starts at the exact due time. Please communicate with the instructor or TA beforehand in circumstances such as illness or family emergency.

The Stanford Honor Code will apply to all assignments, both in and out of class. Copying homework from another student (past or present) is forbidden. However, collaboration is encouraged, provided each student documents on each assignment with whom he/she worked.

Please turn in the homework to TA, or leave it in the collecting box outside her office.

Homework 1
Download Problem Set here. Due at Feb 1st(Fri.) 5:00pm. Updated: Jan 23 8:00pm, 2008.
Download Solution here. Updated: Feb 22 20:30pm, 2008.

Homework 2
Download Problem Set here. Due at Feb 22(Fri) 3:30pm. Updated: Feb 21 4:30pm, 2008.
Download Solution here. Updated: Feb 26 23:30pm, 2008.

Homework 3
Download Problem Set here. Due at March 3(Mon) 5:00pm. Updated: Feb 26 13:20pm, 2008.
Download Solution here. Updated: March 12 11:30am, 2008.

Homework 4
Download Problem Set here. Due at March 14(Fri) 3:30pm. Updated: March 11 12:20pm, 2008.
Download Solution here. Updated: March 24 17:30pm, 2008.

Reading Assignments

Week (Jan 14-Jan 27)
On the handout page: Handout 1, Handout A (Markov Chains), Handout B (Martingales), Review session handout (Conditional Expectation & Modes of Convergence).

Textbook (Steele) Chapter 1 and Chapter 2.

Week (Jan 28-Feb 9)

Textbook (Steele) Chapter 3, 4 and 5.

Week (Feb 10-Feb 15)

Textbook (Steele) Chapter 6, 7 and 8.

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