Markov Processes in summer term 2014


Mondays 12:15-13:45 at room 3.5.06 (Hochbrück-Seminarraum 3)

Tuesdays 12:15-13:45 at room 3.5.06 (Hochrück-Seminarraum 3)

Start: 7th April 2014

Instructor: Prof. Dr. Nina Gantert
Prerequisites: Probability Theory. A link to the lecture notes of Prof. Gantert's Probability Theory lecture is available here.
Content: Markov chains in continuous time, Markov property, convergence to equilibrium. Feller processes, transition semigroups and their generators, long-time behaviour of the process, ergodic theorems. Applications e.g. to queueing theory, interacting particle systems or time series.
Script: Here. (Latest Version: 7th of August)
Literature: T. Liggett (2010): Continuous time Markov processes, American Mathematical Society, USA.
Final exam:
Assessment regime:  
Exercise classes:
Dates of classes:

Tuesdays, 10:15-11:45 at 3.5.06 (Hochbrück-Seminarraum 3)

Organisation of classes:

Xiaoqin Guo

If you have any questions concerning the exercise classes, please contact Xiaoqin Guo