General information
| Course name | Vorlesung + Übung: Stochastische Prozesse (Stochastik IV) |
| Subtitle | Stochastic Processes |
| Course number | MTH-1670 |
| Semester | SS 2025 |
| Current number of participants | 34 |
| Home institute | Stochastik und ihre Anwendungen |
| participating institutes | Institut für Mathematik |
| Courses type | Vorlesung + Übung in category Teaching |
| First date | Wednesday, 23.04.2025 08:15 - 09:45, Room: (L/1007) |
| Pre-requisites | Good knowledge of measure-theoretic probability theory (e.g. bachelor modules "Stochastik I/II"). Basics might be recalled from the first chapters of Bovier's lecture notes (reference below). |
| Veranstaltung findet in Präsenz statt / hat Präsenz-Bestandteile | Yes |
| Hauptunterrichtssprache | englisch |
| Literaturhinweise |
Anton Bovier: Stochastic Processes, Lecture Notes, University of Bonn, 2022 www.dropbox.com/s/5f6s9fnpf4gejgf/wt2-new.pdf James R. Norris: Markov Chains, Cambridge University Press, 2009 Peter Mörters, Yuval Peres: Brownian Motion, Cambridge University Press, 2010 www.mi.uni-koeln.de/~moerters/book/book.pdf Lecture notes will be written along the course, updates available under "Dateien" |
| Miscellanea |
Overview (plan): 1. What is a stochastic process? 2. Discrete-time Markov processes 3. Martingales 4. Continuous-time Markov chains 5. Diffusion processes |
| ECTS points | 9 |
