MATH4240 - Stochastic Processes - 2019/20
Announcement
- Jan 3: Welcome to this course! No tutorial in the 1st week. Here is the tentative course schedule: [Download file]
- Tentative course schedule (Updated on 27 April) [Download file]
- Adjusted Assessment Scheme (updated on April 27th) [Download file]
- Apr 15: Tips for Take-home Midterm Test: [Download file]
- Apr 27: Tips for Take-home Final Exam: [Download file]
- May 4: Statement on Academic Honesty [Download file]
General Information
Lecturer
-
Prof. Renjun DUAN
- Office: LSB 206
- Tel: 3943 7977
- Email:
- Office Hours: 9:00am-12:00noon each Wednesday
Teaching Assistant
-
Mr. Tak Ming CHEUK
- Office: LSB 228
- Tel: 3943 7955
- Email:
- Office Hours: 10:00am-12:00noon each Thursday
Time and Venue
- Lecture: Mo 1:30PM - 2:15PM, Lady Shaw Bldg C2; We 4:30PM - 6:15PM, Lady Shaw Bldg C1
- Tutorial: Mo 12:30PM - 1:15PM, 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)
Pre-class Notes
- A historical note
- Full Lecture Notes (updated on 27 April)
- Summary for Chapter 0
- Summary for Chapter 1
- Summary for Chapter 2
- Summary for Chapter 3
- Dominated Convergence Theorem (Refer to 1.4)
Lecture Notes
- Zoom-19Feb
- Zoom-24Feb
- Zoom-26Feb
- Zoom-02Mar
- Zoom-04Mar
- Zoom-09&11Mar
- Zoom-16&18Mar
- Zoom-23Mar
- Zoom-25Mar
- Zoom-06Apr
- Zoom-08Apr
- Zoom-15Apr
- Zoom-20Apr
- Zoom-22Apr
- Zoom-27Apr
Tutorial Notes
- Tutorial 1
- Tutorial 2
- Tutorial 3
- Tutorial 4
- Tutorial 4_Zoom notes
- Tutorial 5
- Tutorial 5_Zoom notes
- Tutorial 6
- Tutorial 6_Zoom notes
- Tutorial 7
- Tutorial 7_Zoom notes
- Tutorial 8
- Tutorial 8_Zoom notes
- Tutorial 9
- Tutorial 9_Zoom notes
Assignments
- Homework 1
- Homework 2
- Homework 3
- Homework 4
- Homework 5
- Homework 6
- Homework 7
- Homework 8
- Final report
Quizzes and Exams
- Take-home Midterm Test: Front page and answer sheet template
- Take-home Midterm Test: Questions
- Take-home Final Exam: Front page and answer sheet template
Solutions
- Solution of HW1
- Solution of HW2
- Solution of HW3
- Solution of HW4
- Solution of HW5
- Solution of HW6
- Midterm solution
- Solution of HW7
- Solution of HW8 (corrected on 27 May)
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: May 08, 2020 16:02:41