Stochastic systems courses

This page collects some information about stochastic systems courses offered at Caltech. This page was prepared in preparation for a faculty discussion on the current stochastic systems sequence (ACM/EE 116, ACM 216, ACM 217/EE 164).

Additional stochastic systems courses at Caltech

The following table lists all of the courses that I was able to find that have been taught in the last five years.

Course	enroll	2008-09	2007-08	2006-07	2005-06
ACM/EE 116 - Introduction to Stochastic Processes and Modeling	30-50	Owhadi	Owhadi	Owhadi	Owhadi
ACM 216 - Markov Chains	15-20	Owhadi	Owhadi	Candes	Owhadi
ACM 217 - Advanced Topics in Stochastic Analysis	2-12	Owhadi	Von Handel	Hassibi	N/O
ACM 257 - Special Topics in Financial Mathematics	20	N/O	Hill	N/O	N/O

Course listings

The course listings below are from the Caltech catalog, mainly to serve as a reference for the rest of the information on this page.

ACM 216. Markov Chains, Discrete Stochastic Processes and Applications. 9 units (3-0-6); third term. Prerequisite: ACM/EE 116 or equivalent. Stable laws, Markov chains, classification of states, ergodicity, von Neumann ergodic theorem, mixing rate, stationary/equilibrium distributions and convergence of Markov chains, Markov chain Monte Carlo and its applications to scientific computing, Metropolis Hastings algorithm, coupling from the past, martingale theory and discrete time martingales, rare events, law of large deviations, Chernoff bounds.