LTCC Stochastic Processes

Basics

Instructor: Terry Soo
email: t.soo@ucl.ac.uk
My homepage
LTCC site

• 10.50-12.50; Mondays, 7 October - 4 November
  
• De Morgan House, Russell Square

General links/references

• Materials from 2023

• Videos on YouTube

• Rolling homework

Classes

First Class

We discussed the law of large numbers and illustrated various coding applications.

• Law of Large numbers and R
• Strong law of large numbers
  • Complete convergence (optional)
• Example code
  • Python
• Blackwell’s problem

Second Class

• Coupling and TV
• Review of MC
• Doeblin Coupling
  • Perron–Frobenius theorem

Third class

• Renewal type arguments

• Mean ergodic theorem

• Question, Destiny’s Child

Fouth Class

• Poisson processes

Last class

• Generating functions

• Branching processes

Endnotes

Version: 04 November 2024