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).

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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

• A historical note
• Time inhomogeneous Markov chain and an example

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

• Homework 1
• Homework 2
• Homework 3
• Homework 4
• Homework 5
• Homework 6
• Homework 7

Quizzes and Exams

• Suggested solution to Test 1
• Suggested solution to Test 2

Solutions

• solution 1
• solution 2
• solution 3
• solution 4
• solution 5
• solution 6
• solution 7

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.

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Assessment Policy

Last updated: April 19, 2023 16:28:59