MATH4240 - Stochastic Processes - 2014/15

Course Name: 
Stochastic Processes
Teacher: 
Prof. Narn Rueih SHIEH
Course Year: 
2014/15
Term: 
2

Announcement

  • It will start from week 1 that the pdf's of course notes etc will be uploaded sequentially, accessed by codes.
  • IMPORTANT DATE: Midterm 1 at Feb 6 (F), Midterm 2 at March 20(F)
  • Students should hand your homework into the assignment box of MATH4240 at LSB on time and take it back from the box after one week. No late hand-in is allowed.
  • The tutorials will start from Jan 12 (Monday) and tutorial notes will be uploaded after class.
  • IMPORTANT: NO MAKE-UP for any midterm. If you a valid medical proof of sickness, then the instructor will give an average over the score of other parts performance.
  • Please try to finish all questions in each homework, including the bonus questions. Bonus questions are more challenging and will be counted into your grade but with less points than a normal question.
  • The average score of midterm 1 is 18.8 and the standard deviation is 5.0.
  • Course progress: MC is finished at 02.16
  • COURSE ADJUSTMENT: due to time-limit, we skip the renewal processes part.
  • The average score of midterm 2 is 19.4 and the standard deviation is 8.0.
  • IMPORTANT DATE: Final exam at May 5 (Tues) 12:30-14:30 at Run Run Shaw Hall
  • For the problem 4 in homework 5, one may simply write down formulas as the answer, and will be better to get the concrete numbers as the final result by using some softwares.

General Information

Lecturer

  • Shieh Narn-Rueih
    • Office: LSB 233
    • Tel: 39437956
    • Email:
    • Office Hours: MW 2:30-3:30 pm

Teaching Assistant

  • Kong Shi-Lei
    • Office: LSB 222A
    • Tel: 39433575
    • Email:

Time and Venue

  • Lecture: M3-4, Mong Man Wai Bidg 702; F3, LSB LT 3
  • Tutorial: M2, Mong Man Wai Bidg 702

Course Description

In this course, we address the following topics for elementary SP: O. Review on Probability. I. Markov Chains (discrete-time). II. Poisson and Renewal Processes. III. Continuous-time MC's (a.k.a. Markov pure jump processes). IV. Second Order Processes (including Wiener Process).


Textbooks

  • P. G. Hoel, S.C. Port, and C.J. Stone: Introduction to Stochastic Processes. Houghton Mifflin 1972, Internet available.

References

  • R. Durrett: Essentials of Stochastic Processes, 2nd Ed, Springer 2012.
  • S. Ross: Introduction to Probability Models, 8th Ed. Academic Press.
  • M.A. Pinsky and S. Karlin: An Introduction to Stochastic Modeling, 4th Ed. Academic Press.
  • J. Lamperti: Stochastic Processes, Springer 1977

Lecture Notes


Tutorial Notes


Assignments


Quizzes and Exams


Solutions


Assessment Scheme

6 homeworks 20%
mid term 1 15%
mid term 2 15%
final exam 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.

Last updated: April 22, 2015 13:59:27