MMAT5340 - Probability and Stochastic Analysis - 2018/19

Course Name: 
Probability and Stochastic Analysis
Teacher: 
Prof. Tieyong ZENG
Course Year: 
2018/19
Term: 
1

Announcement

  • Course Outline [Download file]
  • Homework 1 is assigned. The due date is 22 Oct, 2018.
  • Midterm: 22 Oct 2018. The content is what we leaned till 22 Oct.
  • For Homework 1 problem 9.19, please change 100 to 50.
  • You can now take back your midterm.
  • Homework 2 is assigned. The due date is 1 Dec, 2018.
  • The Final Examination: December 3, 2018 (Monday), 18:30 (sharp)-20:00, at Wu Ho Man Yuen Bldg 507.
  • The suggested solution of Homework 2 has been uploaded.

General Information

Lecturer

  • Prof. Zeng Tieyong
    • Office: LSB225
    • Tel: 39437966
    • Email:

Teaching Assistant

  • Lo Chiu Hong
    • Office: LSB 232B
    • Tel: 39437978
    • Email:

Time and Venue

  • Lecture: Mo 6:30PM - 9:15PM, Wu Ho Man Yuen Bldg 507

Course Description

This course is designed for the M.Sc. Programme in Mathematics. This course focusses on the rigorous foundation in probability and Markov chains theory with applications in different areas. No prior knowledge of measure theory is assumed.


Textbooks

  • Peter Olofsson, Mikael Andersson, Probability, Statistics, and Stochastic Processes, Wiley, 2012, 2nd Edition.
  • Saeed Ghahramani, Fundamentals of Probability, with Stochastic Processes, CRC Press, 2015, 3rd Edition.

References

  • Roy D. Yates, David J. Goodman, Probability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers, Wiley, 2004, 2nd Edition.

Lecture Notes


Assignments

  • Homework 1: Problem 1.18--1.20, 2.45, 3.23--3.25, 4.21--4.23, 5.18, 5.45--5.46, 6.8, 8.11, 8.21, 9.19, 10.13 in lecture notes (UCSB); due date: 22 Oct, 2018
  • Homework 2: Problem 11.29-11.32, 11.36, 11.40, 12.12-12.14, 12.27, 13.20, 13.30, 14.12-14.13, 14.18, 15.24-15.27 in lecture notes (UCSB); due date: 1 Dec, 2018

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: November 30, 2018 21:36:32