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Lecturer:
| Alexander Lindner |
Class Teacher:
| Abdulkahar Alkadour |
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| Type: | - Bachelor Mathematik (optional)
- Bachelor Wirtschaftsmathematik (optional)
- Master of Finance (optional)
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| News: | The room of the lecture has changed from He/120 to He/E20 starting from May 7! |
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Time and Venue: | - Lecture: Thursday, 12:15-14:00, He18/E20.
- First Lecture: 16th of April.
- Exercise Class: every second Friday, 8:30-10:00, He18/E20.
- Dates of exercise classes: April 24, May 8, May 22, June 5, June 19, July 3, July 17.
- Solutions of the first exercise sheet to be handed in by: 23rd of April.
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Final Exam: | The form of the exam will be determined in the first lecture of the summer term. |
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Prerequisites: | Analysis I+II, Linear Algebra I+II, Stochastik I. |
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Contents: | Markov chains in discrete and continuous time with countable state space, in particular: - Definition and elementary properties, examples
- stopping times and strong Markov property
- recurrence and transience
- invariant distributions and limit distributions
- classification of states
- the generator in continuous time
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Literature:
| - J.R. Norris, Markov Chains, Cambridge Univ. Press, 1997.
- G.R. Grimmet and D.R. Stirzaker, Probability and Random Processes, Oxford Science Publications, 1982.
- S.I. Resnick, Adventures in Stochastic Processes, Birkhäuser, 1992.
- U. Krengel, Einführung in die Wahrscheinlichkeitstheorie und Statistik, Vieweg, 1988.
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| Lecture notes: | |
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| Problem sheets: | |
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