MATH2750 – Markov processes (10 credits, Semester 2)

Exam 19th May Tuesday, 9:00-11:00am, Worsley Lab 2 (10.106).

Consultation Friday 2pm, Magic room 10.20a (near Maths Café)

I am available Thursday (except 12-13pm and 14-15pm), Friday, Monday.

Discrete time

Exercises 1 (by Monday 02.02.2009, 16:00)

Lecture 1 & Revision

Solutions 1

Lecture 2

Exercises 2 (by Monday 16.02.2009, 16:00)

Lecture 3

Solutions 2

Lecture 4

Exercises 3 (by Monday 23.02.2009, 16:00)

Lectures 5-6

Solutions 3

 

Exercises 4 (By Monday 11.03.2009, 16:00)

 

Solutions 4

Continuous time

Exercises 5 (by Monday 18.03.2009, 16:00)

Lecture 7  

Solutions

Lecture 8  

Exercises 6

Revision topics

Solutions

Handout 9

Exercises 7 (worked examples and homework)

Handout 10: revision of H2

Solutions of worked examples

 

Exercises 8

 

Some hints and answers

Main notions, definitions, proofs of the course

Hints and answers to Exam 2007

 

Hints and answers to Exam 2006

Practicals 1 and 2 marks

Hints and answers to Exam 2005

Mock exam

Answers to Exam 2008

Some answers to mock exam

Link to Past Exam papers site

Literature

Exam paper 2008

Recommended and reference Literature:

1. D.R.Cox and H.~D.~Miller, The Theory of Stochastic Processes, Chapman & Hall, 1977.

2. G.R.Grimmett and D.R.Stirzaker, Probability and Random Processes, Clarendon Press, 1992.

3. P.G.Hoel, S.C.Port and C.J.Stone, Introduction to stochastic processes, Houghton Mifflin, 1972

4. D.L.Isaacson and R.W.Madsen, Markov Chains: Theory and Applications, Wiley, 1976.

5. H.C.Tuckwell, Elementary Applications of Probability Theory, Chapman & Hall, 1993.

6. K.L.Chung, Elementary Probability Theory with Stochastic Processes, Springer, 1974.

 

7. A.N.Shiryaev, Probability, translated by R.P. Boas. New York; London: Springer, 1996. 2nd ed. (Chapter 1 is recommended, with the last section on Markov chains. All material of the further chapters is advanced.)

 

 

The handouts were prepared by A.Veretennikov with the help of recommended and reference literature.

© A.Veretennikov, 2008
© University of Leeds, 2008