Hinweis: Diese Veranstaltung wird im Sommersemester 2017 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 in summer term 2017

Lecture

Dates:

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

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

Start: April 24, 2017
Instructor:Prof. 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.
Literature:T. Liggett (2010): Continuous time Markov processes, American Mathematical Society, USA.

Exercise classes

Dates of classes:

Exercise classes will be held every week in two groups:

Group 1: Tuesdays, 10:15 - 11:45 in room BC1 2.02.01.

Group 2: Thursday, 10:15 - 11:45 in room BC1 2.01.10.

Attention: Dates for group 2 have changed!

Start:May 2, 2017.
Teaching assistant:Stefan Junk
Course material:The course material will be available in Moodle. Please register  for one of the exercise classes in TUMonline to get access.
Grading:

You can hand in your solutions to the exercise sheet to get a correction, either in the lecture on Monday or on Tuesday in Group 1. Please hand in in groups of 3!

Bonus system:

Through continuous participation you can add a bonus 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.

Exam

The exam will be an oral exam.
First Exam:

August 17.

Second Exam:

In October, during the first week of the new semester.