南开大学STAT0008随机过程

这里是南开大学统计与数据科学学院为高年级本科生开设的随机过程课程主页。
本课程前置课程为初等概率论，不要求修读测度论等高级课程。
本课程强调概率直观，注重理论与应用相结合，包含随机过程在数据科学中的应用选讲。

• 授课教师：赵尉辰

• 上课时间：周二11-13

• 上课地点：二主楼B306

• 助教信息：向智鹏

Lecture notes & slides

• Lecture 1 - Introduction & Preliminaries [Slides]

• Lecture 2 - Poisson Process [Notes]

• Lecture 3 - Extensions of Poisson Process [Notes]

• Lecture 4 - Discrete-time Markov Chains [Notes]

• Lecture 5 - Classification of States [Notes]

• Lecture 6 - Limit Behavior and Ergodic Theorem [Notes]

• Lecture 7 - Reversibility and Time Reversals [Notes]

• Lecture 9 - Continuous-time Markov Chains [Notes]

• Lecture 10 - Invariant Distribution, Limit Behavior and Reversibility [Notes]

• Lecture 11 - Birth-death Processes [Notes]

• Lecture 12 - Queueing Theory [Notes]

• Lecture 13 - Markov Chain Monte Carlo [Notes][Slides]

Advance Topics

• Lecture 8 - Mixing Times [Notes]

• Lecture 14 - Simulated Annealing [Slides]

Reference books

• 随机过程（第二版），Sheldon M. Ross 著，龚光鲁 译，机械工业出版社

• Markov chains, J. R. Norris, Cambridge university press

• 随机过程及其应用（第二版）， 陆大䋮，张颢，清华大学出版社

Homeworks

• Homework 1 - Preliminaries [pdf]

• Homework 2 - Poisson Process [pdf]

• Homework 3 - Discrete-time Markov Chains [pdf]

• Homework 4 - Continuous-time Markov Chains [pdf]

Suggested readings