tahamajs/SP/materials/stochastic_refs - Storage Bucket

Stochastic process materials

Reference PDFs (materials/stochastic_refs)

• Zitkovic_Intro_Stochastic_Processes.pdf — University of Texas lecture notes on discrete/continuous Markov chains, martingales, Poisson processes, and limit theorems with proofs and examples.
• Rachel_Wu_18-615_Notes.pdf — MIT 18.615 notes: Markov chains, martingale basics, Brownian motion, convergence ideas; concise derivations.
• David_Anderson_Intro_Stochastic.pdf — Intro probability/stochastic text (UW–Madison) covering random variables, Poisson processes, Markov chains, renewal ideas, and many exercises.

Course slides (materials/slides/sp-homeworks)

• SP_Week_01_Review_Probability_Intro_SP.pdf — Probability review and intro to stochastic processes.
• SP_Week_02_SP_SSS_WSS.pdf — Stationary/strict-sense-stationary vs wide-sense-stationary processes.
• SP_Week_03_ESP_SLTI_PS_v1.pdf — Ensemble/sample properties, SLTI systems, power spectra.
• SP_Week_04_PP_PP_v1.pdf — Point processes and Poisson processes basics.
• SP_GP_Week05_v1.pdf — (Week 5) Gaussian processes overview.
• SP_Week_06_ET_Part_I_v2.pdf — Estimation theory part I.
• SP_Week_07_ET_Part_II_v2.pdf — Estimation theory part II.
• SP_Week_08_HT_v2.pdf — Hypothesis testing.
• SP_Week_09_MC_HMM_v1.pdf — Markov chains and hidden Markov models.
• 04/A Tutorial on Hawkes Processes for Events in Social Media.pdf — Hawkes processes tutorial with social-media examples.
• 04/Modelling Financial High Frequency Data Using Point Processes.pdf — Point-process modeling for high-frequency finance.

Notes: Public links for Karl Sigman’s Columbia notes and MIT 18.445 notes returned 404/page-not-found responses, so those were not saved. If you have alternate links or credentials, I can add them too.