Creative Commons License
Introduction to Stochastic Processes by Raghu Pasupathy is licensed under a Creative Commons Attribution 4.0 International License.
raghu pasupathy

Stochastic Processes (MA,STAT 532)

Lectures and Notes

lecture number 1 lecture video, lecture notes stochastic processes & properties
lecture number 2 lecture video, lecture notes linearity of mean and variance functions
lecture number 3 lecture video, lecture notes Poisson process construction
lecture number 4 lecture video, lecture notes joint distribution of arrival times,NHPP construction
lecture number 5 lecture video, lecture notes NHPP construction and properties
lecture number 6 lecture video, lecture notes thinning and superposition
lecture number 7 lecture video, lecture notes two-state Markov chain
lecture number 8 lecture video, lecture notes Markov chain examples, n-step state distribution
lecture number 9 lecture video, lecture notes hitting times, transience and recurrence
lecture number 10 lecture video, lecture notes state decomposition
lecture number 11 lecture video, lecture notes martingale chain
lecture number 12 lecture video, lecture notes martingale chain, birth-death chain, gambler's ruin, branching chain
lecture number 13 lecture video, lecture notes stationary distribution, long-term behavior
lecture number 14 lecture video, lecture notes long-term behavior, positive and null recurrence
lecture number 15 lecture video, lecture notes positive and null recurrence, uniqueness of stationary distribution
lecture number 16 lecture video, lecture notes periodicity
lecture number 17 lecture video, lecture notes Markov pure-jump processes
lecture number 18 lecture video, lecture notes Kolmogorov forward and backward diff equations
lecture number 19 lecture video, lecture notes KFE and KBE, examples
lecture number 20 lecture video, lecture notes second-order processes
lecture number 21 lecture video, lecture notes Gaussian processes
lecture number 22 lecture video, lecture notes Gaussian processes, Brownian motion
lecture number 23 lecture video, lecture notes Brownian motion, reflection principle, hitting time calculations
lecture number 24 lecture video, lecture notes Brownian motion, sample-path properties
lecture number 25 lecture video, lecture notes Integration & differentiation

Problem Sets

problem set 1 basic stochastic processes
problem set 2(*) Poisson processes
problem set 3 Poisson processes solution sketch
problem set 4 Markov chains solution sketch
problem set 5 (*) Markov chains solution sketch
problem set 6 stationary distribution
problem set 7 stationarity, postive and null recurrence
problem set 8 periodicity, stationarity, pure jump
problem set 9 pure jump, birth and death processes
problem set 10 second-order processes
problem set 11 (*) Brownian motion solution sketch