MATH4240 - Stochastic Processes - 2015/16

Course Name: 
Course Year: 


  • Welcome to the course.
  • Course schedule [Download file]
  • NO tutorial lecture in the 1st week!
  • As Shilei Kong will be on leave on Feb 15, the tutorial lecture on that day will be delivered by TA Yange Du.
  • Quiz 1: Feb 19; 10:45-11:15 in class; Cover all updated lectures (No practice problems will be selected!)
  • Midterm Test: March 14; 10:30-12:15 in class; Cover all updated lectures.
  • The tutorial lecture (9:30-10:15) on March 21 has been changed to the regular course lecture.
  • As scheduled in the course plan and also announced in lecture class, Quiz 2 will be held in class on April 15. It will cover updated lectures of Chapter 3 only. Please come for the second quiz of this course. NO make-up!

General Information


  • Prof. Renjun DUAN
    • Office: LSB 206
    • Tel: 39437977
    • Email:
    • Office Hours: Friday 9:00AM-10:15AM

Teaching Assistant

  • Mr. Shilei KONG
    • Office: LSB 222A
    • Tel: 39433575
    • Email:
    • Office Hours: M 12:30-3:30PM, W 12:30-2:30PM, H 2:30-5:30PM

Time and Venue

  • Lecture: Mo 10:30AM - 12:15PM, Mong Man Wai Bldg 702; Fr 10:30AM - 11:15AM, Lady Shaw Bldg LT3
  • Tutorial: Mo 9:30AM - 10:15AM, Mong Man Wai Bldg 702

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.


  • Introduction to Stochastic Processes, Hoel, Port and Stone


  • Essentials of Stochastic Processes, Durrett (many applied examples)
  • Introduction to Stochastic Processes, Lawler (condense, a good book)
  • Basic Stochastic Processes, Brzezniak and Zastawniak (more theoretical)
  • Denumerable Markov chains, Wolfgang Woess (more topics on Markov chains)
  • Stochastic Processes, Sheldon Ross (more advance book)

Lecture Notes

Tutorial Notes



Assessment Scheme

Homework (about five times) 10%
Two Quizzes (1st Quiz will be in Wk6, and 2nd Quiz will be in Wk14) 15%
Midterm (March 14 in Wk 10) 25%
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:

and thereby help avoid any practice that would not be acceptable.

Last updated: April 20, 2016 18:38:45