Hinweis: Diese Veranstaltung wird im Sommersemester 2014 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 2014

Lecture:
Dates:

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