General information
| Course name | Vorlesung + Übung: Stochastische Prozesse (Stochastik IV) |
| Subtitle | Stochastic Processes |
| Course number | MTH-1670 |
| Semester | SS 2023 |
| Current number of participants | 28 |
| Home institute | Stochastik und ihre Anwendungen |
| participating institutes | Institut für Mathematik |
| Courses type | Vorlesung + Übung in category Teaching |
| First date | Tuesday, 18.04.2023 14:00 - 15:30, Room: (L-1007) |
| Pre-requisites | Profound knowledge of measure-theoretic probability theory (e.g. bachelor modules "Stochastik I/II"). Basics might be recalled from Durrett's book (reference below). |
| Veranstaltung findet in Präsenz statt / hat Präsenz-Bestandteile | Yes |
| Hauptunterrichtssprache | englisch |
| Literaturhinweise |
• T.M. Liggett, Continuous Time Markov Processes, AMS 2010. – our main textbook for this course • L.B. Koralov and Ya. Sinai, Theory of Probability and Random Processes, Springer 2010. – an alternative presentation of the material • A. Klenke, Probability Theory, Springer 2014. – an even different presentation of the material, also available in German • P. Mörters, Y. Peres, Brownian Motion, Cambridge University Press 2010. – specifically for the chapter on Brownian motion • R. Durrett, Probability. Theory and Examples, 5th ed., Cambridge University Press 2019. – contains all the basics in probability theory Furthermore, we provide lecture notes for the chapter on Markov Processes (see under Files). |
| Miscellanea |
Overview: I. Basic notions II. Brownian motion III. Markov chains IV. Feller Processes V. Interacting particle systems |
| ECTS points | 9 |
