MATH4240  Stochastic Processes  2019/20
Announcement
 Jan 3: Welcome to this course! No tutorial in the 1st week. Here is the tentative course schedule: [Download file]
 Tentative course schedule (Updated on 27 April) [Download file]
 Adjusted Assessment Scheme (updated on April 27th) [Download file]
 Apr 15: Tips for Takehome Midterm Test: [Download file]
 Apr 27: Tips for Takehome Final Exam: [Download file]
 May 4: Statement on Academic Honesty [Download file]
General Information
Lecturer

Prof. Renjun DUAN
 Office: LSB 206
 Tel: 3943 7977
 Email:
 Office Hours: 9:00am12:00noon each Wednesday
Teaching Assistant

Mr. Tak Ming CHEUK
 Office: LSB 228
 Tel: 3943 7955
 Email:
 Office Hours: 10:00am12:00noon each Thursday
Time and Venue
 Lecture: Mo 1:30PM  2:15PM, Lady Shaw Bldg C2; We 4:30PM  6:15PM, Lady Shaw Bldg C1
 Tutorial: Mo 12:30PM  1:15PM, 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)
Preclass Notes
 A historical note
 Full Lecture Notes (updated on 27 April)
 Summary for Chapter 0
 Summary for Chapter 1
 Summary for Chapter 2
 Summary for Chapter 3
 Dominated Convergence Theorem (Refer to 1.4)
Lecture Notes
 Zoom19Feb
 Zoom24Feb
 Zoom26Feb
 Zoom02Mar
 Zoom04Mar
 Zoom09&11Mar
 Zoom16&18Mar
 Zoom23Mar
 Zoom25Mar
 Zoom06Apr
 Zoom08Apr
 Zoom15Apr
 Zoom20Apr
 Zoom22Apr
 Zoom27Apr
Tutorial Notes
 Tutorial 1
 Tutorial 2
 Tutorial 3
 Tutorial 4
 Tutorial 4_Zoom notes
 Tutorial 5
 Tutorial 5_Zoom notes
 Tutorial 6
 Tutorial 6_Zoom notes
 Tutorial 7
 Tutorial 7_Zoom notes
 Tutorial 8
 Tutorial 8_Zoom notes
 Tutorial 9
 Tutorial 9_Zoom notes
Assignments
 Homework 1
 Homework 2
 Homework 3
 Homework 4
 Homework 5
 Homework 6
 Homework 7
 Homework 8
 Final report
Quizzes and Exams
 Takehome Midterm Test: Front page and answer sheet template
 Takehome Midterm Test: Questions
 Takehome Final Exam: Front page and answer sheet template
Solutions
 Solution of HW1
 Solution of HW2
 Solution of HW3
 Solution of HW4
 Solution of HW5
 Solution of HW6
 Midterm solution
 Solution of HW7
 Solution of HW8 (corrected on 27 May)
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: May 08, 2020 16:02:41