This Course at MIT

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Course Overview

This page focuses on the course 15.070J Advanced Stochastic Processes as it was taught by Professor David Gamarnik in Fall 2013.

15.070J is an advanced graduate level lecture-based course devoted to the theory of random processes.

Course Outcomes

Course Goals for Students

  • Gain a deeper understanding of stochastic processes including martingale theory, filtration and stopping theorems, concentration inequalities, large deviations theory, Brownian motion, stochastic integration, Ito calculus, weak convergence and functional limit theorems.
  • Explore applications to finance theory, insurance, queueing and inventory models.
 

Curriculum Information

Prerequisites

Any one of the following courses:

Requirements Satisfied

Offered

Every fall semester

The Classroom

  • Photo of a high-ceiling classroom with long row tables for students and whiteboards on both the front and side walls.

    Lecture

    This course is taught in a 36-seat flat classroom with slide and overhead projection, a document camera, and whiteboards for diagrams and equations.

 

Student Information

15-070J_stat-students.png

Breakdown by Year

This course is primarily taken by graduate students.

Typical Student Background

A majority (2/3-3/4) of students are coming from an engineering angle (especially electrical engineering and computer science) and operations research, with the remaining from business, economics and mathematics backgrounds.

 

How Student Time Was Spent

During an average week, students were expected to spend 12 hours on the course, roughly divided as follows:

Lecture

3 hours per week
  • One or two 90-minute class sessions per week
  • Mandatory attendance
  • 22 class sessions total
 

Out of Class

9 hours per week

Time divided between:

 

Semester Breakdown

WEEK M T W Th F
1 No classes throughout MIT. No classes throughout MIT. Lecture session. No session scheduled. No session scheduled.
2 Lecture session. No session scheduled. Lecture session. No session scheduled. No session scheduled.
3 Lecture session; problem set due date. No session scheduled. Lecture session. No session scheduled. No classes throughout MIT.
4 Lecture session. No session scheduled. Lecture session. No session scheduled. No session scheduled.
5 Lecture session; problem set due date. No session scheduled. Lecture session. No session scheduled. No session scheduled.
6 Lecture session. No session scheduled. Lecture session. No session scheduled. No session scheduled.
7 No classes throughout MIT. No classes throughout MIT. No session scheduled. No session scheduled. No session scheduled.
8 Lecture session. No session scheduled. Lecture session; problem set due date. No session scheduled. No session scheduled.
9 Lecture session. No session scheduled. Lecture session; exam held. No session scheduled. No session scheduled.
10 Lecture session. No session scheduled. No session scheduled. No session scheduled. No session scheduled.
11 No classes throughout MIT. No session scheduled. Lecture session; problem set due date. No session scheduled. No session scheduled.
12 Lecture session. No session scheduled. Lecture session. No session scheduled. No session scheduled.
13 Lecture session. No session scheduled. Lecture session. No classes throughout MIT. No classes throughout MIT.
14 No session scheduled. No session scheduled. No session scheduled. No session scheduled. No session scheduled.
15 Lecture session; exam held. No session scheduled. No session scheduled. No classes throughout MIT. No classes throughout MIT.
16 No classes throughout MIT. No classes throughout MIT. No classes throughout MIT. No classes throughout MIT. No classes throughout MIT.
Displays the color and pattern used on the preceding table to indicate dates when classes are not held at MIT. No classes throughout MIT
Displays the color used on the preceding table to indicate dates when lecture sessions are held. Lecture session
Displays the symbol used on the preceding table to indicate dates when exams are held. Exam
Displays the color used on the preceding table to indicate dates when no class session is scheduled. No class session scheduled
Displays the symbol used on the preceding table to indicate dates when problem sets are due. Problem set due date