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=== 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 [https://github.com/bdemeshev/hse_panda_metrics_2024_2025/raw/main/whitepaper.pdf whitepaper]

Telegram [https://t.me/+1Ig_jZc8RYc5Mjgy chat] (не берёт на парковке)

Hand made [https://e.pcloud.link/publink/show?code=kZj5BOZAb8qNTSGI6LiGLeLWvMd4LMu4hsk videos with love]!

Class notes [https://disk.360.yandex.ru/d/ViBiodE8BPk2Aw disk]

=== Home assignments, exams and grading ===

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

[https://github.com/bdemeshev/hse_panda_stochastic_2025_fall/raw/main/home_assignments/home_assignments.pdf Home assignments!]

Almost surely every week a new home assignment will be published. You are not required to hand in the HA, but next class will include a quiz with one or two problems extremely similar to the HA. Once during the course HA will be in the form of a computer assisted project. At the end of the course you have 5 honey pots: a right to rewrite 5 missed or badly written quizzes.

[https://github.com/bdemeshev/tssp_exams/raw/main/tssp_exams.pdf Past exams]

[https://github.com/bdemeshev/stochastic_pro/raw/main/stochastic_pro.pdf Exercise collection]

== Samurai diary: Stochastic Process ==

2025-09-02, lecture 1: Rules of the game, definition of a Markov chain, Chapman-Kolmogorov equations, calculation of n-step transition probabilities, failed attempt to discuss first step analysis. Check 1.1-2.1 from [https://www.statslab.cam.ac.uk/~rrw1/markov/M.pdf Mchains]

2025-09-30, lecture 5: Irreducible chain. Proportion of life spent at a node wo proof. Knight on the chessboard problem. Stationary state. Period of a node. Aperiodic node. Existence of a stationary distribution wo proof. Convergence to a stationary distribution wo proof.

2025-10-07, lecture 6: Convergence in probability. Convergence almost surely. Convergence in mean. Convergence in distribution. Examples. Relationship between convergence modes wo proof.

2025-11-11, lecture 9: Три определения пуассоновского потока и (на 75%) доказательство их эквивалентности. Через экспоненциальное, через Пуассона и через о-малые. Формулировку свойств минимума экспоненциальных распределений без доказательств. Определение марковской цепи в непрерывном времени (через экспоненциальные времена в каждом состоянии).

=== Classes ===

2025-09-06, class 1:

== Sources of Wisdom ==

[https://github.com/bdemeshev/stochastic_pro/raw/main/stochastic_pro.pdf StoPro]: Problems in Stochastic Processes

[https://projects.iq.harvard.edu/stat110/home In2Pro]: Blitstein, Hwang, Introduction to probability.

[https://www.statslab.cam.ac.uk/~rrw1/markov/M.pdf Mchains] Cambridge lectures on Markov chains.

[https://aditya-sengupta.github.io/expository/markovtex.pdf MarkovTex]: Representing Markov Chains in Latex.

[https://www.stat.berkeley.edu/~aldous/150/takis_exercises.pdf Takis]: Takis Konstantinopulos, One hundred solved exercises on Markov chains.

[https://courses.cit.cornell.edu/econ620/reviewm6.pdf Convergence modes] review from Cornell university

[https://www.ee.iitb.ac.in/~sarva/courses/EE325/2014/Slides/ConvergenceOfRVs.pdf Convergence modes]: Saravan Vijayakumaran, convergence modes with examples

[https://staff.fnwi.uva.nl/p.j.c.spreij/onderwijs/master/aadtimeseries2010.pdf ts2010]: Aad van der Vaart, Time Series course with hardcore math

Past course iterations: [http://wiki.cs.hse.ru/Tssp-2024-25 2024-2025], [http://wiki.cs.hse.ru/Tssp-2023-24 2023-2024], [http://wiki.cs.hse.ru/Tssp-2022-23 2022-2023], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 2021-2022], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 2020-2021].

Stochastic processes and applications DSBA 2025/2026 - История изменений

imported>Agpopov: Migrated current public revision from wiki.cs.hse.ru