Stochastic Processes (Spring 2021)
General Information
Instructor: Chihao Zhang
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Time:
Monday
12:55 - 15:40
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Location: DongShangYuan (东上院) 107
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Office Hour:
Monday
7:00pm - 10:00pm
School of Software (软件学院) 1402-2
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References
Essentials of Stochastic Processes, 3rd Edition, Richard Durrett, Springer.
Introduction to Probability Models, 11th Edition, Sheldon Ross, Elsevier.
Stochastic Processes: Theory and Applications (unfinished manuscript), Joseph Chang.
News
Lecture Notes
[May 31][manuscript][notes] Brownian Motion, Gaussian Processes, Brownian Bridge, Kolmogorov-Smirnov Test
[May 24][manuscript][notes] Convergence of Supermartingales, Stochastic Approximation, Brownian Motion
[May 17][manuscript][notes] Martingale, Stopping Time, Optional Stopping Theorem
[May 10][manuscript][notes] Markov Random Fields, Hidden Markov Model, Expectation Maximization
[May 08][manuscript][notes] Continuous-time Markov Chains, Kolmogorov Forward/Backward Equations
[Apr 26][manuscript][notes] Applications of Poisson Processes, Non-homogeneous Poisson Processes
[Apr 19][manuscript][notes] Properties of Poisson Processes, Poisson Approximation
[Apr 12][manuscript][notes] Exponential Distribution, Poisson Distribution, Poisson Process
[Mar 29][manuscript][notes] Metropolis Algorithm, Simulated Annealing, Mixing Time
[Mar 22][manuscript][notes] 2SAT, Stochastic Dominance, Coupling, Proof of FTMC
[Mar 15][manuscript][notes] Galton-Watson Process, Random Walk in 1-D
[Mar 08][manuscript][notes] Fundamental Theorem of Markov Chains, Strong Law of Large Numbers for Markov Chains
[Mar 01][manuscript][notes] Discrete Markov Chains, Irreducibility, Aperiodicity, Recurrence
[Feb 22][manuscript][notes] Introduction to the Course (slides in Chinese), Review of Probability Theory