MATH4240 - Stochastic Processes - 2024/25
Announcement
- Jan 1: Welcome to the course! No tutorial in the 1st week. Here is the tentative course outline: [Download file]
General Information
Lecturer
-
Renjun DUAN
- Office: LSB 206
- Tel: 39437977
- Email:
- Office Hours: Freely visit the office or make an appointment by email
Teaching Assistant
-
Mr. CHAN Kam Fai
- Office: LSB 232
- Tel: 39435294
- Email:
- Office Hours: Fri 14:00-15:00
-
Mr. ZHANG Zhiwen
- Office: LSB 232
- Tel: 39435294
- Email:
- Office Hours: Mon 2:00-3:00
Time and Venue
- Lecture: Mo 10:30AM - 11:15AM Science Centre L5; Th 10:30AM - 12:15PM Lady Shaw Bldg LT2
- Tutorial: Mo 11:30AM - 12:15PM Science Centre L5
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
Assessment Scheme
| Homework (about 7 times) | 10% | |
| Midterm Test (Time and date: 18:30-20:00 March 12 Wednesday; Venue: LSB LT6) | 40% | |
| Final Exam (TBA by university) | 50% |
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: January 13, 2025 11:13:24