Lecturer

Dr. Vitalii Makogin

Teaching Assistant
Peter Schaumann

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Time and Place

Due to the coronavirus, the summer semester 2020 will take place online. This course is organized and carried out via the Moodle. For more information refer to the FAQs about emergency mode.

Lecture

Monday, 10:15 - 11:45  

Friday, 8:30 - 10:00  

Exercise Session

Wednesday, 12:15 - 13:45  

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Type

4 hours lecture + 2 hours exercises

Credit points: 9

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Prerequisites

Probability and Calculus, Stochastics I

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Intended Audience

Master students in Mathematics and Mathematical Economics, Mathematical Biometrics

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Content

This is an introductory course in the theory of random functions and fields. It provides an extension of some topics treated in the course "Stochastic II", by studying random processes with a spatial index.

The main topics are:

• Kolmogorov's existence theorem
• Stationarity and isotropy
• Basic models of random fields
• Correlation theory of stationary random fields
• positive semi-definite functions
• orthogonally scattered measures
• stochastic integration

The course will be taught in English. 

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Requirements to write the final exam

Successful work out of at least 50% of the exercises in the exercise sheets.

Lecture notes

The lecture notes for “Random fields” can be found here.

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Exercise sheets

 The exercise sheets and scores will be published on Moodle.

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Literature

• Adler, R. J., Taylor, J. E.: Random Fields and Geometry, Springer, 2007
• Azais, J.-M., Wschebor, M.: Level Sets and Extrema of Random Processes and Fields, Wiley, 2009
• Bogachev, V.I.: Gaussian Measures, AMS, 1998
• Brémaud, P.: Markov Chains, Gibbs Fields, Monte Carlo Simulation, and Queues, Springer, 1999
• Bulinski, A., Shashkin, A.: Limit Theorems for Associated Random Fields and Related Systems, World Scientific, 2007
• Dudley, R. M.: Uniform Central Limit Theorems, Cambridge Univ. Pr.,1999
• Fernique, X: Fonctions aléatoires gaussiennes vecteurs aléatoires gaussiens, CRM, Montreal, 1997
• Georgii, H.-O.: Gibbs Measures and Phase Transitions, de Gruyter, Berlin, 1988
• Guyon, X.: Random Fields on a Network, Springer, 1995
• Ivanov, A.V., Leonenko, N.N.: Statistical Analysis of Random Fields, Kluwer, 1989
• Ledoux, M., Talagrand, M.: Probability in Banach Spaces: Isoperimetry and Processes, Springer, 1991
• Leonenko, M.: Limit Theorems for Random Fields with Singular Spectrum, Kluwer, 1999
• Lifshits, M.A.: Gaussian Random Functions, Kluwer, 1995
• Khoshnevisan, D.: Multiparameter Processes: An Introduction to Random Fields, Springer, 2002
• Malyshev, V. A., Minlos, R. A.: Gibbs Random Fields: Cluster Expansions, Kluwer, 1991
• Piterbarg, V. I.: Asymptotic Methods in the Theory of Gaussian Processes and Fields, AMS, 1996
• Ramm, A.: Random Fields Estimation, World Scientific, 2005
• Yaglom, A. M.: Correlation Theory of Stationary and Related Random Functions, Volume I,Springer, 1987
• Yaglom, A. M.: Correlation Theory of Stationary and Related Random Functions, Volume II, Springer, 1987

The course reserve of the library.
(download: pdf)