MATH4240 - Stochastic Processes - 2022/23

Course Name: 
Course Year: 


  • Jan 3: Welcome to the course! No tutorial in the 1st week. Here is the tentative course outline: [Download file]

General Information


  • 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.


  • 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



Useful Links

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Assessment Policy

Last updated: January 19, 2023 09:45:26