Markov-Ketten

General Information

  • Language: Deutsch / English
  • Lectures:  2h
  • Exercises: 1h

Prerequisites

Elementare WR und Statistik

Contents

Markov chains 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

Schedule

  • Lecture: Wednesday / 08:15 - 10:00 / Helmholtzstraße 18 - 120
  • Exercise: Friday / 09:00-10:00 / Helmholtzstraße 22 - E.04

Exam (open)

  • 1st Exam: tba
  • 2nd Exam: tba

Literature

  • Kirkwood (2015). Markov Processes.
  • Levin, Peres, and Wilmer (2009). Markov Chains and Mixing Times. (Online Ressource)
  • Norris (1998). Markov Chains.
  • Resnick (2013). Adventures in Stochastic Processes.

Notes

Die Übungsblätter finden Sie in Moodle!

Lecturer