MMAT5340 - Probability and Stochastic Analysis - 2021/22

Course Year: 


  • The midterm exam is scheduled on 27th October 18:30 - 20:30

General Information


  • Tan Xiaolu
    • Office: LSB 227
    • Email:

Teaching Assistant

  • He Xihao
    • Email:
  • Wang Jixin
    • Email:

Time and Venue

  • Lecture: We 6:30PM - 9:15PM (T.Y.Wong Hall LT)

Course Description

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


  • Peter Olofsson, Mikael Andersson, Probability, Statistics, and Stochastic Processes, Wiley, 2012, 2nd Edition.
  • Lecture notes by Gordan Zitkovic, Introduction to Stochastic Processes - Lecture Notes (with 33 illustrations).
  • Lecture notes by Gordan Zitkovic, Discrete Martingales.

Pre-class Notes

Lecture Notes

Class Notes


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:

and thereby help avoid any practice that would not be acceptable.

Assessment Policy

Last updated: November 25, 2021 18:42:29