STA4001
STA4001: Stochastic Process Notes
CUHK-Shenzhen · Spring 2026
CUHK-Shenzhen STA4001 Stochastic Process notes, Spring 2026. Free PDF covering Markov chains, Poisson processes, continuous-time models, and queueing systems.
Topics covered
- Discrete-time Markov chains: Transition probabilities, hitting probabilities and expected hitting times, recurrence, transience, and communicating classes.
- Long-run behavior: Stationary distributions, limiting behavior, and time reversibility.
- Continuous-time processes: Markov chains, generator matrices, Poisson processes, and birth-death processes.
- Queueing: Queueing systems, Little’s law, and queueing networks.