MATH4240 - Stochastic Processes - 2017/18

Course Name: 
Course Year: 


  • 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


  • Prof. Renjun DUAN
    • Office: LSB 206
    • Tel: 39437977
    • Email:
    • Office Hours: 9:30am-10:30am each Tuesday or by appointment

Teaching Assistant

  • Mr. Tak Ming CHEUK
    • Office: LSB 228
    • Tel: 39437955
    • Email:
    • Office Hours: 2:00pm-5:00pm 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.


  • Introduction to Stochastic Processes by Hoel, Port and Stone (Chapter 1, Chapter 2, and Chapter 3 ONLY)


  • 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

Tutorial Notes


Quizzes and Exams


Assessment Scheme

Homework (graded about three times) 10%
Two Quizzes (Quiz 1 on Feb 6; Quiz 2 is on Apr 10) 10%
Midterm (10:30am-12:15pm on March 13, ERB 407) 30%
Final Exam (The date TBA by the University) 50%

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Assessment Policy

Last updated: April 17, 2018 17:51:46