| General Info | Announcements | References | Topics| Handouts | Assignments | Links |

Assignments

Policy: 

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). 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 Terman 397 office.

Assignments

Reading Assignments:

Sep  21-Sep 25
Read Chapter 1 of Oksendal, and familiarize yourself with Brownian motion. A good starting point for the latter is Chapter 3 of the Steele (recommended) text or the Brownian motion chapter of a First Course in Stochastic Processes by Karlin and Taylor.

Sept 28-Oct 2
Chapters 1, 3, and 5 of Steele (2001)
Chapters 1 and 2 of Oksendal (2001)

Oct 5-12
Please read up on martingales:
Chapters 2 and 4 of Steele (2001) or
Chapter 6 of Karlin and Taylor (1st Course) or 
Chapter 5 of Breiman (1968)

Nov 3-10

Chapters 3, 4, 5, 7.1-7.3, 9 of Oksendal(2001):
Chapters 6, 7.1-7.4, 8, 9, 11 of Steele (2001)

Homework Assignments

Assignment 1:

Download Problem Set here. Due on Friday, October 9.

Download Solution here. Updated November 09, 2009.

Assignment 2:

Download Problem Set here. Due on Monday, November 2.

Assignment 3:

Download Problem Set here. Due on Monday, November 16.

 

 

 

 

 

 

| Management Science & Engineering Dept | Stanford University |