Stochastic Processes (Spring 2022)
General Information
Instructor:
Chihao Zhang
Time:
Tuesday
12:55 - 15:40
Location:
下院413
Office Hour:
Monday
7:00pm - 10:00pm
School of Software (软件学院) 1402-2
References
See
References
. I will keep updating the references.
News
Lecture Notes
[May 31][notes]
Black-Scholes Formula, Feynman-Kac Formula
[May 24][
notes
]
Itô Integral, Itô Formula
[May 17][
notes
]
Kolmogorov-Smirnov Test, Diffusion
[May 10][
notes
]
Brownian Motion, Brownian Bridge
[Apr 26][
notes
]
Generalized Coupon Collector, Poisson Approximation
[Apr 24][
notes
]
Poisson Processes, Thinning of Poisson Processes
[Apr 19][
notes
]
Tail Inequalities for Martingales
[Apr 12][
notes
]
Martingale, Optional Stopping Theorem
[Mar 29][
notes
]
Some Applications of Markov Chains
[Mar 22][
notes
]
Recurrence, SLLN for Markov Chains
[Mar 15][
notes
]
Metropolis Algorithm, Markov Chains with Countbly Infinite States
[Mar 08][
notes
]
Proof of FTMC for Finite Chains, Coupling
[Mar 01][
notes
]
Concentration Inequalities, Finite Markov Chains
[Feb 22][
notes
]
Review of Probability Theory
[Feb 15][notes]
Introduction to the Course (
slides in Chinese
)