MATH4240 - Stochastic Processes - 2021/22

Course Name: 
Stochastic Processes
Teacher: 
Prof. Renjun DUAN
Course Year: 
2021/22
Term: 
2

Announcement

  • Jan 3: Welcome to the course! No tutorial in the 1st week. Here is the tentative course plan (updated on Feb 24th): [Download file]
  • Jan 14: This file explains where you hand in and collect your homework. [Download file]
  • Jan 24: From today this course has changed to the fully online study mode. Please check your Blackboard for the zoom information of both course lecture and tutorials. Homework 2 should be handed and graded online via Blackboard.
  • Feb 9: The university announced that all classes will remain online for the remainder of Term 2 2021-22. Thus, all class lectures and tutorials of this course will be conducted via Zoom. For Test 1 and Test 2, the original classroom mode will change to the take-home mode with 24 hours’ duration (see the tentative course plan for the time and date that remain the same as scheduled) and the submission will be made via Blackboard online. For the final exam, it will be announced by the university. For the forthcoming test 1, it will cover all class lectures up to Feb 9th (inclusive) and the question paper will be posted in Blackboard at the starting time 6:30pm on February 16.
  • Feb 13: Here is the arrangement of Test 1 [Download file]
  • Feb 18: The tutorial on Feb 21 will change to the course lecture. Thus, our course lecture on Monday 21 Feb will start at 12:30 and end at 14:15. The zoom information remains the same as usual.
  • March 16: Most updated arrangement of Test 2: Online test with invigilation via Zoom; 2 hours from 6:30pm to 8:30pm on March 23, with the last 15 minutes given for submission via Blackboard; Cover page 120 (that’s the end of Test 1) to page 238 (that’s the end of Chapter 2); NOT allowed to use textbook, any class note or any other kind of references; be unmuted with camera on during the whole zoom test (you may still mute yourself if you feel any noise around your place).
  • March 25: Please be informed that lecture time for the next week will be adjusted as: (1) Lecture on Monday March 28 (1:30-2:15pm) will be cancelled; (2)Time for lecture on Wednesday March 30 will change to 2:30pm-5:30pm, that’s the original ending time 4:15pm will be extended to 5:30pm.
  • Apr 4: Here is an adjustment of course and tutorial lectures in the rest of this term. April 11 Monday: The course lecture will be held at 12:30pm-2:15pm and the tutorial will be cancelled, that is, the tutorial changes to the course lecture on this day; April 13 Wed: No change. Please attend the course lecture as scheduled (2:30pm-4:15pm); April 18 Mon: No lecture due to a public holiday; April 20 Wed: The course lecture will be held at 2:30pm-3:15pm and the tutorial will be added to 3:30pm-4:15pm, that is, the course lecture at 3:30pm-4:15pm changes to the tutorial on this day. Basically I only switch the tutorial (12:30pm-1:15pm, April 11 Mon) and the course lecture (3:30pm-4:15pm, April 20 Wed). The zoom information for the course lecture will remain the same as we have been using.
  • Apr 11: Here is the arrangement for Online Course and Teaching Evaluation: [Download file]

General Information

Lecturer

  • Prof. Renjun DUAN
    • Office: LSB 206
    • Tel: 39437977
    • Email:

Teaching Assistant

  • Ms. Fan YANG
    • Office: LSB 222B
    • Tel: 39437963
    • Email:

Time and Venue

  • Lecture: Mo 13:30 - 14:15 and We 14:30 - 16:15, both at Mong Man Wai Bldg 705
  • Tutorial: Mo 12:30 - 13:15, Mong Man Wai Bldg 705

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)
  • Knowing the Odds: An Introduction to Probability by John B. Walsh (Chapter 7; Other Chapters also useful for reading)

Pre-class Notes


Lecture Notes


Class Notes


Tutorial Notes


Assignments


Quizzes and Exams


Solutions


Useful Links


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 20, 2022 21:41:07