Markov Chains and Monte Carlo Simulation

Jun.-Prof. Dr. Zakhar Kabluchko

Dipl.-Math. Christian Hirsch

Time and place


Tuesday, 16-18  (HeHo 18, Room 120)

Exercise session
Tuesday, 12 - 13 (HeHo 18, Room 120)

Written exam

Monday, July 18, 9:00 AM, Room H20


Exercise sessions start at April 19, 2011.


2 hours lecture + 1 hour exercises

Starting from the 2nd homework sheet we will no longer accept joint homework solutions. Sheets containing more than one student name will not be graded.

For the assessment of your homework solutions a registration at SLC is required


Problem sets

problem set 1

problem set 2

problem set 3

problem set 4, appendix to solution of 4.2

problem set 5

problem set 6, sketch of solution for 6.4

problem set 7

problem set 8, sketch of solution to 8.2-8.4

problem set 9

problem set 10

problem set 11, sketch of solution for 11.3d

problem set 12 (corrected version of exercise 2)

mock exam , sketch of solution for problems 3 and 5b


Probability Calculus

Intended Audience

Bachelor students in Mathematics, Business Mathematics and Mathematical Biometrics; Master students in Finance
Credit points: 4


The second exam takes plays on 29th of September, between 12:00 and 17:00 in the office of the lecturer (E00, Helmholtzstr. 18). The participants will receive an e-mail with the exact time of their exam. You may use the following text by Nicolas Privault to prepare for the exam: PDF


  • O. Häggström: Finite Markov Chains and Algorithmic Applications. Cambridge University Press, 2002
  • S. I. Resnick: Adventures in Stochastic Processes. Birkhäuser, 1992
  • Y. Suhov, M. Kelbert: Probability and Statistics by Example. Volume 2. Markov Chains: A Primer in Random Processes and their Applications. Cambridge University Press, 2008
  • T. Rolski, H. Schmidli, V. Schmidt, J. Teugels: Stochastic Processes for Insurance and Finance. Wiley, 1999
  • E. Behrends: Introduction to Markov Chains. Vieweg, 2000
  • P. Bremaud: Markov Chains, Gibbs Fields, Monte Carlo Simulation, and Queues. Springer, 2008





  • Office hours on appointment
  • Phone: +49 (0)731/50-23527
  • Homepage

Teaching Assistant

  • Office hours on appointment
  • Phone: +49 (0)731/50-31083
  • Homepage


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