MATH4240  Stochastic Processes  2015/16
Announcement
 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; 10:4511:15 in class; Cover all updated lectures (No practice problems will be selected!)
 Midterm Test: March 14; 10:3012:15 in class; Cover all updated lectures.
 The tutorial lecture (9:3010:15) 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 makeup!
General Information
Lecturer

Prof. Renjun DUAN
 Office: LSB 206
 Tel: 39437977
 Email:
 Office Hours: Friday 9:00AM10:15AM
Teaching Assistant

Mr. Shilei KONG
 Office: LSB 222A
 Tel: 39433575
 Email:
 Office Hours: M 12:303:30PM, W 12:302:30PM, H 2:305:30PM
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.
Textbooks
 Introduction to Stochastic Processes, Hoel, Port and Stone
References
 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
 A Historical Note
 Examples of Markov Chains
 Explanatory Note on Chapter 0 (Last updated on 2016.2.01)
 Explanatory Note on Chapter 1 (Last updated on 2016.2.22)
 A criterion of an infinite irreducible recurrent birth&death chain
 Explanatory Note on Chapter 2 (Last updated on 2016.3.11)
 Explanatory Note on Chapter 3 (Last updated on 2016.4.18)
 Examples for Markov Jump Process
Tutorial Notes
 Tutorial Note 1 (2016.1.18)
 Tutorial Note 2 (2016.1.25)
 Tutorial Note 3 (2016.2.1)
 Tutorial Note 4 (2016.2.15)
 Tutorial Note 5 (2016.2.22)
 Tutorial Note 6 (2016.2.29, updated on 2016.3.11)
 Tutorial Note 7 (2016.3.7)
 Tutorial Note 8 (2016.3.14)
 Tutorial Note 9 (2016.4.11)
 Tutorial Note 10 (2016.4.18)
Assignments
 Practice problems in the 1st week
 Practice problems in the 2nd week
 Practice problems in the 3rd week
 Practice problems in the 4th week
 Practice problems in the 6th&7th weeks
 Practice problems in the 8th week
 Practice problems in the 9th week
 Practice problems in the 10th&11th weeks
 Practice problems in the remaining weeks
Solutions
 Suggested Solution to Practice Problems in Week 1
 Suggested Solution to Practice Problems in Week 2
 Suggested Solution to Practice Problems in Week 3
 Suggested Solution to Quiz 1
 Suggested Solution to Practice Problems in Week 4
 Suggested Solution to Practice Problems in Week 6&7
 Suggested Solution to Practice Problems in Week 8
 Suggested Solution to Practice Problems in Week 9
 Suggested Solution to Midterm Test
 Suggested Solution to Practice Problems in Week 10&11
 Suggested Solution to Quiz 2
 Suggested Solution to Practice Problems for the Remaining Lectures
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
 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.
Last updated: April 20, 2016 18:38:45