LTCC Stochastic Processes

Basics

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

• 10.50-12.50; Mondays, 6 October - 3 November
  
• Hardy room, De Morgan House, Russell Square

General links/references

• Materials from 2024

• Videos on YouTube

• Rolling homework

Classes

First Class

• Law of Large numbers and R
• Strong law of large numbers

Second Class

• Weierstrass approximation theorem

• Review of MC

• Coupling and TV

Third Class

• Doeblin coupling

• Renewal type arguments

Fourth class

• Poisson point process
  • Worked examples

Last class

• Introduction to Brownian motion

Endnotes

Version: 03 November 2025