Lecturers:
Prof. Dr. Benedikt Jahnel & Dr. Partha Pratim Ghosh
Content:
We investigate Markov processes in discrete and continuous time. In particular we will present the generator approach to Feller processes. Using this, we investigate Brownian motions, Levy processes and interacting particle systems.
Prerequesits:
The bachelor courses Introduction to Probability Theory and Probability Theory and Time-Discrete Financial Mathematics.
Place and time:
Lectures: Tuesday 13:15 - 14:45 (UP 2.314), Wednesday 13:15 - 14:45 (UP 2.314)
Practise session: Friday 11:30 - 13:00 (UP 2.314)
Exams:
Oral exams, scheduled individually
Literature:
D. Stroock: An Introduction to Markov Processes (2014)
T. Liggett: Continuous Time Markov Processes: An Introduction (2010)
E. Dynkin: Theory of Markov Processes (1960)
S. Ethier and T. Kurtz: Markov Processes: Characterization and Convergence (1986)
Remark:
Lecture and practise sessions are in english.