STAC63S - Probability and Stochastic Processes II (2026)
Announcements
Instructor
Professor Michael Evans
Office: IA4026
email: mevansthree.evans@utoronto.ca
Time and Place
Three hours of lectures per week.
First class is Monday, January 5.
- MO 13:00-15:00 in IA 2010
- WE 11:00-12:00 in IA 2050
Website
http://www.utstat.utoronto.ca/mikevans/stac63/staC632025.html
Videos
There will be videos of the classes placed up on Quercus.
Office Hours
The in-person office hours will be right after class on Wednesdays in my office for 3 hours.
Course Description
STAC63S is a theoretical course but with more emphasis on applications than STAC62F. Note that STAC62 is a prerequisite of STAC63 (Exclusions STA447H1, STA348H5).
The following topics will be covered. The material on Monte Carlo will be interspersed throughout the course.
- Monte Carlo methods
- A mini review of some things covered in STAC62 including proofs of some results not proved in STAC62.
- Markov chains
- Martingales
- Continuous processes - Poisson process, Brownian motion, renewal and queueing theory
There will be Exercises assigned, often from the book, and solutions subsequently provided. It is important that
you do the Exercises to prepare for the midterm and final.
Textbook
A First Look at Stochastic Processes by Jeffrey S. Rosenthal published by World Scientific
Other Sources
- Grimmett and Stirzaker (2001) Probability and Random Processes, Third Edition, Oxford.
- Arguin (2022) - A First Course in Stochastic Calculus, American Mathematical Society.
Evaluation
The midterm and final are open book.
- A midterm worth 40% (2 hours probably around Feb. 14).
- A final worth 60% (in-person 3 hours).
Class Notes
I will post my class notes here.