18.445 | Spring 2015 | Graduate

Introduction to Stochastic Processes

Course Description

This course is an introduction to Markov chains, random walks, martingales, and Galton-Watsom tree. The course requires basic knowledge in probability theory and linear algebra including conditional expectation and matrix.

Course Info

Learning Resource Types
Lecture Notes
Problem Sets with Solutions
A branching Galton-Watson tree.
Galton-Watson tree is a branching stochastic process arising from Fracis Galton’s statistical investigation of the extinction of family names. The process models family names. Each vertex has a random number of offsprings. The figure shows the first four generations of a possible Galton-Watson tree. (Image by Dr. Hao Wu.)