Stochastic Processes (Spring 2023)
General Information
Instructor:
Chihao Zhang
Time:
Thursday
12:55 - 15:40
Location:
上院515
Office Hour:
Tuesday
7:00pm - 10:00pm
School of Software (软件学院) 1402-2
References
See
References
. I will keep updating the references.
Lecture Notes
[Jun 01][notes]
Discretization of Langevin Dynamics (
paper
)
[May 25][
notes
]
Itô Integral, Itô Formula
[May 18][
notes
]
Diffusions, Langevin Dynamics
[May 11][
notes
]
Gaussian Processes, Brownian Bridge
[May 04][
notes
]
Brownian Motion, Hitting Time of a Brownian Motion
[Apr 27][
notes
]
Generalized Coupon Collector, Poisson Approximation
[Apr 20][
notes
]
Poisson Processes
[Apr 13][
notes
]
Optional Stopping Theorem
[Apr 06][
notes
]
Azuma-Hoeffding Ineqaulity, McDiarmids Inequality
[Mar 30][
notes
]
Concentration Inequalities, Martingale
[Mar 23][
notes
]
FT for Chains with Infinite States, Some Applications of Markov Chains
[Mar 16][
notes
]
Metropolis Chain, Sampling Colorings, Chains with Infinite States
[Mar 09][
notes
]
Proof of FTMC, Mixing Time
[Mar 02][
notes
]
Discrete Markov Chains, Coupling
[Feb 23][
notes
]
Review of Probability, Balls-into-Bins
[Feb 16][notes]
Introduction to the Course (
slides in Chinese
)