MATH4240 - Stochastic Processes - 2018/19

Course Name: 
Course Year: 


  • Jan 4: Welcome to this course! No tutorial in the 1st week. Here is the tentative course schedule: [Download file]
  • Feb 27: The venue for the midterm test (starting from 7:00pm on March 11th) is LSB LT6. Covers are all materials by the end of lectures on Feb 27.
  • Mar 15: The date of Quiz Two has changed to March 25th (Mon). It will start from 1:30PM at the beginning of class and take about 10 to 15 minutes. The covers will be lectures in the period March 4 to March 20.
  • Apr 9: Please be informed that the course lecture on April 17 (3:30-4:15pm) will switch with the tutorial lecture on April 15 (12:30-1:15pm).

General Information


  • Prof. Renjun DUAN
    • Office: LSB 206
    • Tel: 3943 7977
    • Email:
    • Office Hours: Wed 4:30PM-5:30PM, or freely by appointment

Teaching Assistant

  • Mr. Yiping YANG
    • Office: LSB 232
    • Tel: 3943 5294
    • Email:
    • Office Hours: Fri 9:00AM-12:00AM, or freely by appointment

Time and Venue

  • Lecture: Mo 1:30PM - 2:15PM Lady Shaw Bldg LT4; We 2:30PM - 4:15PM Lady Shaw Bldg C2
  • Tutorial: Mo 12:30PM - 1:15PM Lady Shaw Bldg LT4

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)

Pre-class Notes

Lecture Notes

Tutorial Notes


Quizzes and Exams


Useful Links

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Assessment Policy

Last updated: April 26, 2019 11:05:11