Summer Semester 2026
Summary
This class gives an introduction to theory and application of
stochastic processes, including martingales, Brownian motion, Poisson
processes, and point processes.
Quick Links
Textbooks
- J. Humpherys, T.J. Jarvis, and E.J. Evans, Foundations of
Applied Mathematics, Vol. 2, Algorithms, Approximation,
Optimization, Society for Industrial and Applied Mathematics, 2020
(Chapter 5 for first part of course)
- Z. Brzeźniak, T. Zastawniak, Basic Stochastic Processes,
Springer, 1999
- R.P. Dobrow, Introduction to Stochastic Processes with R,
Wiley, 2016
Grading
- The grade for this class is determined by a final written exam.
- Successful submission of weekly exercises
will add a grade bonus of 1/3 of a grade step to your final grade.
- There will be a mock exam 3-4 weeks before the final exam. A passing
grade on the mock exam will add another grade bonus of 1/3 of a grade
step to your final grade.
- Note that the pass/fail decision is not affected by the bonus, and
the top grade can be achieved without the bonus.
Topics (tentative,
subject to change!)
- Mon, April 13, 2026
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Review of discrete probability, see notes
- Thu, April 16, 2026
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TBA
- Mon, April 20, 2026
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TBA
- Tue, April 21, 2026
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TBA
- Thu, April 23, 2026
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TBA
- Mon, April 27, 2026
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no class
- Thu, April 30, 2026
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no class
- Mon, May 04, 2026
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no class
- Thu, May 7, 2026
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TBA
- Mon, May 11, 2026
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TBA
- Tue, May 12, 2026
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TBA
- Thu, May 14, 2026
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public holiday
- Mon, May 18, 2026
-
TBA
- Thu, May 21, 2026
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TBA
- Mon, May 25, 2026
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public holiday
- Thu, May 28, 2026
-
TBA
- Mon, June 1, 2026 TBA
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TBA
- Tue, June 2, 2026
-
TBA
- Thu, June 4, 2026
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public holiday
- Mon, June 8, 2026
-
TBA
- Thu, June 11, 2026
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TBA
- Mon, June 15, 2026
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TBA
- Thu, June 18, 2026
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TBA
- Mon, June 22, 2026
-
TBA
- Thu, June 25, 2026
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TBA
- Mon, June 29, 2026
-
TBA
- Thu, July 2, 2026
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TBA
- Mon, July 6, 2026
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TBA
- Thu, July 9, 2026
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TBA
- Mon, July 13, 2026
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TBA
- Thu, July 16, 2026
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TBA