SM4202 Random Processes
I will be teaching SM4202 for the first half of the semester (roughly 7 weeks) for the August 2020 semester.
Syllabus
Here are the topics I intend to cover for this course. This may change depending on how we get on with the course.

Chapter 1: Probability recap
 Recall fundamental concepts in mathematical probability
 Recap of discrete and continuous distributions
 Properties of means and variances
 Generating functions

Chapter 2: Discrete time stochastic processes
 Definitions and examples
 Discrete Markov chains
 Transition probabilities, stationary transition probabilities, $n$step transition matrices
 ChapmanKolmogorov equations
 State diagrams and classification of states
 Periodicity, recurrence and transience

Chapter 3: Continuous time stochastic processes
 Basic concepts and definitions
 Instantaneous transition rates
 $Q$ matrices (generator matrices)
 Kolmogorov equations
 Invariant measures for irreducible, continuous Markov processes
Schedule
W4 Tue 18/8/2020 13301530 @ 1A.62; Lecture (Chapter 1)W4 Wed 19/8/2020 13301530 @ 1A.62; Lecture (Chapter 1)W5 Tue 25/8/2020 13001530 @ 1A.62; Lecture (Chapter 2)W5 Wed 26/8/2020 12301400 @ 1A.62; Lecture (Chapter 2)W5 Sat 29/8/2020 08001000 @ 1A.62; Tutorial (Exercise 1)W6 Tue 01/9/2020 13301530 @ 1A.62; Lecture (Chapter 2)W6 Wed 02/9/2020 13301530 @ 1A.62; Lecture (Chapter 2)W6 Sat 05/9/2020 08001000 @ 1A.62; Tutorial (Exercise 2)W7 Tue 08/9/2020 13301530 @ 1A.62; Lecture (Chapter 3)W7 Wed 09/9/2020 13301530 @ 1A.62; Lecture (Chapter 3)MIDSEM Mon 14/9/2020 08001100 @ 1A.62; Lecture and Tutorial (Chapter 3 & Exercise 3)
CLASS TEST is scheduled for Sat 26/9/2020 @ 08300930. Covers Chapters 1 and 2 only.
Lecture Notes
Download lecture notes from my shared Google Drive.
Exercise Sheets
Statistical Tables
Supplementary Reading
 Ross, S. (2009). A First Course in Probability.
 Ross, S. M. (2014). Introduction to probability models. Academic Press.
 Grimmet, G. & Stirzaker, D. (2020). Probability and Random Processes. Oxford University Press.
 Norris, J. R. (1998). Markov Chains. Cambridge University Press.