# MMAT5340 - Probability and Stochastic Analysis - 2018/19

Course Year:
2018/19
Term:
1

### Announcement

• Homework 1 is assigned. The due date is 22 Oct, 2018.
• Midterm: 22 Oct 2018. The content is what we leaned till 22 Oct.
• For Homework 1 problem 9.19, please change 100 to 50.
• You can now take back your midterm.
• Homework 2 is assigned. The due date is 1 Dec, 2018.
• The Final Examination: December 3, 2018 (Monday), 18:30 (sharp)-20:00, at Wu Ho Man Yuen Bldg 507.
• The suggested solution of Homework 2 has been uploaded.

### General Information

#### Lecturer

• Prof. Zeng Tieyong
• Office: LSB225
• Tel: 39437966
• Email:

#### Teaching Assistant

• Lo Chiu Hong
• Office: LSB 232B
• Tel: 39437978
• Email:

#### Time and Venue

• Lecture: Mo 6:30PM - 9:15PM, Wu Ho Man Yuen Bldg 507

### Course Description

This course is designed for the M.Sc. Programme in Mathematics. This course focusses on the rigorous foundation in probability and Markov chains theory with applications in different areas. No prior knowledge of measure theory is assumed.

### Textbooks

• Peter Olofsson, Mikael Andersson, Probability, Statistics, and Stochastic Processes, Wiley, 2012, 2nd Edition.
• Saeed Ghahramani, Fundamentals of Probability, with Stochastic Processes, CRC Press, 2015, 3rd Edition.

### References

• Roy D. Yates, David J. Goodman, Probability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers, Wiley, 2004, 2nd Edition.

### Assignments

• Homework 1: Problem 1.18--1.20, 2.45, 3.23--3.25, 4.21--4.23, 5.18, 5.45--5.46, 6.8, 8.11, 8.21, 9.19, 10.13 in lecture notes (UCSB); due date: 22 Oct, 2018
• Homework 2: Problem 11.29-11.32, 11.36, 11.40, 12.12-12.14, 12.27, 13.20, 13.30, 14.12-14.13, 14.18, 15.24-15.27 in lecture notes (UCSB); due date: 1 Dec, 2018