Instructor: Allanus Tsoi

Course Description: This is an introductory course on discrete time real-valued Markov processes. Fundamental properties such as transition probabilities, the Chapman-Kolmogorov equations, Decomposition Theorem on stochastic matrices, recurrence and transient states, first exit time as well as some limit theorems will be discussed. In the second half of the semester we will consider their applications on renewal theory, on queueing theory and on mathematical finance.

Pre-requisite: An introductory course in basic probability theory and linear algebra.