MATH4240  Stochastic Processes  2017/18
Announcement
 Jan 8: Welcome to this course! Here is the tentative course schedule: [Download file]
 Feb 1: Quiz 1 will be held in class on Feb 6. There will be no makeup. The quiz will cover all updated lectures.
 Feb 27: Here is the arrangement for the midterm exam: [Download file]
 April 8: Quiz 2 will be held in class on April 10. There will be no makeup. The quiz will contain only two short questions related to how to find out the rate matrix D and Markov matrix Q for prescribed MJPs.
General Information
Lecturer

Prof. Renjun DUAN
 Office: LSB 206
 Tel: 39437977
 Email:
 Office Hours: 9:30am10:30am each Tuesday or by appointment
Teaching Assistant

Mr. Tak Ming CHEUK
 Office: LSB 228
 Tel: 39437955
 Email:
 Office Hours: 2:00pm5:00pm each Wednesday.
Time and Venue
 Lecture: Mo 10:30AM  12:15PM, Mong Man Wai Bldg 702; Tu 10:30AM  11:15AM, Lady Shaw Bldg C2
 Tutorial: Tu 11:30AM  12:15PM, 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)
Lecture Notes
 A Historical Note
 Summary of Chapter 0
 Summary of Chapter 1
 Summary of Chapter 2
 Short Summary for Midterm Exam
 Summary of Chapter 3
Tutorial Notes
 Tutorial Note 1(2018.1.9)
 Tutorial Note 2(2018.1.16)
 Tutorial Note 3(2018.1.23)
 Tutorial Note 4(2018.1.30)
 Tutorial Note 5(2018.2.6)
 Tutorial Note 6(2018.2.13)
 Tutorial Note 7(2018.2.27)
 Tutorial Note 8(2018.3.6)
 Tutorial Note 9(2018.3.20)
 Tutorial Note 1011(2018.3.27 / 4.10)
 Tutorial Note 12(2018.4.17)
Assignments
 Homework 01
 Homework 02
 Homework 03
 Homework 04
 Homework 05
 Homework 06
 Homework 07
 Homework 08
 Homework 09
Quizzes and Exams
 Quiz 1
 Suggested solution to Quiz 1
 Midterm Test
 Suggested solution to Midterm Test
 Quiz 2
 Suggested solution to Quiz 2
Solutions
 Suggested Solution to Homework 1
 Suggested Solution to Homework 2 (updated on Feb 2)
 Suggested Solution to Homework 3
 Suggested Solution to Homework 4
 Suggested Solution to Homework 5
 Suggested Solution to Homework 6 (updated on Mar 23 for Q23c)
 Suggested Solution to Homework 7
 Suggested Solution to Homework 8 (updated on Apr 12)
 Suggested Solution to Homework 9
Assessment Scheme
Homework (graded about three times)  10%  
Two Quizzes (Quiz 1 on Feb 6; Quiz 2 is on Apr 10)  10%  
Midterm (10:30am12:15pm on March 13, ERB 407)  30%  
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.
Assessment Policy Last updated: April 17, 2018 17:51:46