MATH4240 - Stochastic Processes - 2018/19
Announcement
- Jan 4: Welcome to this course! No tutorial in the 1st week. Here is the tentative course schedule: [Download file]
- Feb 27: The venue for the midterm test (starting from 7:00pm on March 11th) is LSB LT6. Covers are all materials by the end of lectures on Feb 27.
- Mar 15: The date of Quiz Two has changed to March 25th (Mon). It will start from 1:30PM at the beginning of class and take about 10 to 15 minutes. The covers will be lectures in the period March 4 to March 20.
- Apr 9: Please be informed that the course lecture on April 17 (3:30-4:15pm) will switch with the tutorial lecture on April 15 (12:30-1:15pm).
General Information
Lecturer
-
Prof. Renjun DUAN
- Office: LSB 206
- Tel: 3943 7977
- Email:
- Office Hours: Wed 4:30PM-5:30PM, or freely by appointment
Teaching Assistant
-
Mr. Yiping YANG
- Office: LSB 232
- Tel: 3943 5294
- Email:
- Office Hours: Fri 9:00AM-12:00AM, or freely by appointment
Time and Venue
- Lecture: Mo 1:30PM - 2:15PM Lady Shaw Bldg LT4; We 2:30PM - 4:15PM Lady Shaw Bldg C2
- Tutorial: Mo 12:30PM - 1:15PM Lady Shaw Bldg LT4
Course Description
Bernoulli processes and sum of independent random variables, Poisson processes, times of arrivals, Markov chains, transient and recurrent states, stationary distribution of Markov chains, Markov pure jump processes, and birth and death processes. Students taking this course are expected to have knowledge in probability.
Textbooks
- Introduction to Stochastic Processes by Hoel, Port and Stone (Chapter 1, Chapter 2, and Chapter 3 ONLY)
References
- Essentials of Stochastic Processes by Durrett (many applied examples)
- Introduction to Stochastic Processes by Lawler (condense)
- Basic Stochastic Processes by Brzezniak and Zastawniak (more theoretical)
- Denumerable Markov chains by Wolfgang Woess (more topics on Markov chains)
- Stochastic Processes by Sheldon Ross (more advanced)
Pre-class Notes
Lecture Notes
- Summary of Chapter 0
- Summary of Chapter 1 (updated on Feb 14)
- Summary of Chapter 2 (updated on March 11)
- Brief Summary of Chapters 1 and 2 (updated on March 15)
- Summary of Chapter 3 (updated on March 27)
Tutorial Notes
- Tutorial note on Jan 14
- Tutorial note on Jan 21
- Tutorial note on Jan 28
- Tutorial note on Feb 11
- Tutorial note on Feb 18
- Tutorial note on Feb 25
- Midterm review
- Tutorial note on Mar 11
- Tutorial note on Mar 18
- Tutorial note on Mar 25
- Tutorial note on Apr 8
- Tutorial note on Apr 17
Assignments
Quizzes and Exams
- Quiz 1
- Suggested solution to Quiz 1
- Midterm Test
- Suggested solution to Midterm Test
- Suggested solutions to Quiz 2
Solutions
- Solutions to homework 1
- Solutions to homework 2
- Solutions to homework 3
- Solutions to homework 4
- Solutions to homework 5
- Solutions to homework 6
- Solutions to homework 7
- Solutions to homework 8 (revised on Apr 25)
Useful Links
- Probability, Mathematical Statistics, Stochastic Processes (An open source)
- Essentials of Stochastic Processes (Richard Durrett)
- Markov Chains (James Norris)
- A First Course in Probability (Sheldon Ross)
Honesty in Academic Work
The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Any related offence will lead to disciplinary action including termination of studies at the University. Although cases of cheating or plagiarism are rare at the University, everyone should make himself / herself familiar with the content of the following website:
http://www.cuhk.edu.hk/policy/academichonesty/and thereby help avoid any practice that would not be acceptable.
Assessment Policy Last updated: April 26, 2019 11:05:11