Hinweis: Diese Veranstaltung wird im Sommersemester 2016 in englischer Sprache durchgeführt. Das betrifft insbesondere die Vorlesung sowie die Hausaufgaben. Aus diesem Grund stellen wir fast alle Informationen nur in englischer Sprache zur Verfügung.

Markov Processes im Sommersemester 2016


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: 11th April 2016

Instructor: Prof. Noam Berger
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: Lecture notes from 2014 are available here.
Literature: T. Liggett (2010): Continuous time Markov processes, American Mathematical Society, USA.
Exercise classes:
Dates of classes:

Exercise classes will be held every Tuesday in two groups:

Group 1: 14:15 - 15:45 in room BC1 2.02.01.

Group 2: 16:15 - 17:45 in room BC1 2.01.10.

The course material will be available in Moodle.

Bonus system:

Through continuous participation you can add a bonus point to your final grade: At the end of the course, if you obtain 60% (or more) of the total points allotted to all the exercises, your grade will go up one level (if you got a 1.7, this will turn to 1.3, if you got 2.0, it will turn to 1.7 and so on). Improving the grade 1.0 or a failed (4.0 or worse) exam is not possible.

Organisation of classes:

Jan Nagel

Final exam:
Assessment regime:

The first exam took place on Thursday, July 21.

The second exam will be an oral exam. The dates of examination are Tuesday, September 27 and Thursday, October 6.