MATH4240 - Stochastic Processes - 2022/23

Course Name: 
Course Year: 
2022/23
Term: 
2

Announcement

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

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)

Pre-class Notes


Lecture Notes


Tutorial Notes


Assignments


Solutions


Useful Links


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: January 19, 2023 09:45:26