Stochastic Processes

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Instructor: Longmin Wang

Email:

Lectures: Friday 6:30–9:05 pm. at B205, 2nd Main Building.

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Course Description:

This is an undergraduate course on stochastic processes and applications. We will cover the following topics:

• Limit theorems
• Markov chains
• Martingales

Lecture Notes: Version December 26, 2020 with ERRATA to Version September 18, 2020.

Homework: There are over 80 exercises, in several categories of difficulty: the ones without any stars should be doable by everyone who follows the notes; *** means it might be a challenge for the reader. Please submit exercise solutions with 30 points, where each exercise is worth \(2^{\# \text{ of stars}}\).

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Grading Policy: The final grade will be based on homework (30%) and final (70%).

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References:

• R. Durrett, Probability: Theory and Examples, 5th ed., Cambridge University Press, 2019.
• J. R. Norris, Markov Chains, Cambridge University Press, 1997.

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