Stochastic processes and applications DSBA 2025/2026

Course goals

侍には目標がなく道しかない [Samurai niwa mokuhyō ga naku michi shikanai]

A samurai has no goal, only a path.

Course whitepaper

Telegram chat (не берёт на парковке)

Home assignments, exams and grading

Stochastic Processes = 0.35 Halloween Exam + 0.40 Ded Moroz Exam + 0.25 Home Assignments

[... Home assignments :)]

Past exams

Exercise collection

Samurai diary: Stochastic Process

2025-09-02, lecture 1:

Classes

2025-09-06, class 1:

Sources of Wisdom

StoPro: Problems in Stochastic Processes

In2Pro: Blitstein, Hwang, Introduction to probability.

Mchains Cambridge lectures on Markov chains.

MarkovTex: Representing Markov Chains in Latex.

Takis: Takis Konstantinopulos, One hundred solved exercises on Markov chains.

Convergence modes review from Cornell university

Convergence modes: Saravan Vijayakumaran, convergence modes with examples

ts2010: Aad van der Vaart, Time Series course with hardcore math

Past course iterations: 2024-2025, 2023-2024, 2022-2023, 2021-2022, 2020-2021.