MMAT5340 - Probability and Stochastic Analysis - 2023/24

Course Year: 


  • Please remember to check regularly both the course webpage and the Blackboard panel, so that you will not miss out any annoucements or course materials.
  • Midterm Exam: 18:30 - 20:30, Feb 28th, LT6, Lady Shaw Building
  • (Important!) for the cheat sheet on the final exam, please make sure it is written (not typed!) on ONLY ONE SIDE of an A4 paper, otherwise your sheet will be taken away after checking.

General Information


  • Tan Xiaolu
    • Office: LSB227
    • Email:

Teaching Assistant

  • LIN Xiao Li
    • Email:
  • WANG Bin
    • Email:

Time and Venue

  • Lecture: Wednesday 18:30 - 21:15, Esther Lee Bldg LT2

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.

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: April 20, 2024 13:26:15