MATH4240 - Stochastic Processes - 2017/18

Course Name: 
Course Year: 
2017/18
Term: 
2

Announcement

  • Welcome to this course! Here is the tentative course schedule: [Download file]

General Information

Lecturer

  • Prof. Renjun DUAN
    • Office: LSB 206
    • Tel: 39437977
    • Email:
    • Office Hours: 9:30am-10:30am each Tuesday or by appointment

Teaching Assistant

  • Mr. Tak Ming CHEUK
    • Office: LSB 228
    • Tel: 39437955
    • Email:
    • Office Hours: 2:00pm-5:00pm each Wednesday.

Time and Venue

  • Lecture: Mo 10:30AM - 12:15PM, Mong Man Wai Bldg 702; Tu 10:30AM - 11:15AM, Lady Shaw Bldg C2
  • Tutorial: Tu 11:30AM - 12:15PM, Lady Shaw Bldg C2

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)

Lecture Notes


Tutorial Notes


Assignments


Assessment Scheme

Homework (graded about three times) 10%
Two Quizzes (Quiz 1 on Feb 13; Quiz 2 is on Apr 10) 10%
Midterm (10:30am-12:15pm on March 13, LSB C2) 30%
Final Exam (The date TBA by the University) 50%

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: January 15, 2018 14:18:46