MATH4240 - Stochastic Processes - 2023/24
Announcement
- Jan 5: Welcome to the course! No tutorial in the 1st week. Here is the tentative course outline: [Download file]
- Feb 7: As scheduled at the beginning of this term, the forthcoming Test 1 will be held starting from 6:30pm on Feb 21 Wed. The venue is LSB LT2 and the duration is 90 minutes. The test covers all materials taught in class and tutorials up to Feb 7th.
- Mar 13: As scheduled at the beginning of this term, the forthcoming Test 2 will be held starting from 6:30pm on March 27 Wed. The venue is LSB LT2 and the duration is 90 minutes. The test covers all materials of the ONLY Chapter 2 on Stationary Distribution.
General Information
Lecturer
-
Renjun DUAN
- Office: LSB 206
- Tel: 3943 7977
- Email:
- Office Hours: Freely visit the office or make an appointment by email.
Teaching Assistant
-
Mr. Kam Fai CHAN
- Office: LSB 232
- Tel: 3943 5294
- Email:
-
Mr. Bin WANG
- Office: LSB 222B
- Tel: 3943 7963
- Email:
Time and Venue
- Lecture: Mo 10:30 - 11:15 Science Centre L5; We 10:30 - 12:15 Hui Yeung Shing Bldg G04
- Tutorial: Mo 11:30 - 12:15 Science Centre L5
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
- An inhomogeneous MC example: Polya Urn Scheme
- Full Lecture Note (Chap 0 and Chap 1)
- Full Lecture Note (Chap 2)
- Full Lecture Note (Chap 3)
Lecture Notes
- Summary of Chapter 0 (Updated on Jan 10)
- Summary of Chapter 1 (updated on Feb 7)
- Summary of Chapter 2 (updated on Mar 18)
- Summary of Chapter 3 (updated on Apr 17)
Tutorial Notes
- Tutorial Note 01
- Tutorial Note 02
- Tutorial Note 03
- Tutorial Note 04
- Tutorial Note 05
- Tutorial Note 06
- Tutorial Note 07
- Tutorial Note 08
- Tutorial Note 09
- Tutorial Note 10
- Tutorial Note 11
Assignments
Quizzes and Exams
Solutions
- Homework 1 Solution
- Homework 2 Solution
- Homework 3 Solution
- Homework 4 Solution
- Homework 5 Solution
- Homework 6 Solution
- Homework 7 Solution
Assessment Scheme
| Homework (about 7 times) | 10% | |
| Two Tests (Test 1: Feb 21 Wed, from 18:30, at LSB LT2; Test 2: Mar 27 Wed, from 18:30, at LSB LT2) | 40% | |
| Final Exam (TBA by university) | 50% |
Useful Links
- Probability, Mathematical Statistics, Stochastic Processes (An open source)
- Markov Chains by James Norris
- Stochastic Processes by Sheldon Ross
- A First Course in Probability by 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 23, 2024 15:56:50