MATH4240  Stochastic Processes  2022/23
Announcement
 Jan 3: Welcome to the course! No tutorial in the 1st week. Here is the tentative course outline: [Download file]
 Feb 8: As scheduled at the beginning of this term, the forthcoming Test 1 will be held starting from 6:30pm on Feb 22 Wed. The venue is LSB LT6 and the duration is 90 minutes. The test covers all materials taught in class up to Feb 8th.
 March 13: The forthcoming Test 2 will be held starting from 6:30pm on March 22 Wed. The venue is still LSB LT6 and the duration is 90 minutes. The test covers all taught materials from the end of the past test 1 to the end of Chapter 2 (Stationary Distribution).
General Information
Lecturer

Prof. Renjun DUAN
 Office: LSB 206
 Tel: 39437977
 Email:
Teaching Assistant

Miss Fan YANG
 Office: LSB 222B
 Tel: 39437963
 Email:

Mr. Jixin WANG
 Office: LSB 222B
 Tel: 39437963
 Email:
Time and Venue
 Lecture: Mo 15:30  16:15 Lee Shau Kee Building 302; We 14:30  16:15 Lee Shau Kee Building 201
 Tutorial: Mo 14:30  15:15 Lee Shau Kee Building 302
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
Lecture Notes
 Summary note on Chapter 0 (Updated on Jan 11)
 Summary note on Chapter 1 (Updated on Feb 15)
 Summary note on Chapter 2 (Updated on March 13)
 Summary note on Chapter 3 (Updated on April 19)
 Full course note
Tutorial Notes
 Tutorial 1
 Turotial 2
 Tutorial 3
 Tutorial 4
 Tutorial 5
 Tutorial 6
 Tutorial 7
 Tutorial 8
 Tutorial 9
 Tutorial 10
 Tutorial 11
Assignments
Quizzes and Exams
Solutions
Useful Links
 Probability, Mathematical Statistics, Stochastic Processes (An open source)
 Markov Chains by James Norris
 Stochastic Processes by Sheldon Ross
 A First Course in Probability by 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: April 19, 2023 16:28:59