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Prof. Dr. Anton BovierKaveh Bashiri

 


Markov Processes
Wintersemester 2018/2019

 

Lecture

Start of the lecture:               October 09,  2018,                                        
Place:

Kleiner Hörsaal,
Wegelerstraße 10

Time:Tuesday   12 - 14,
Thursday  12 - 14.

Lecture notes

The lecture notes for this course can be found here.



References

  • L.C.D. Rogers and D. Williamson, Diffusions, Markov processes and martingales. Vol. 1+2.
  • Philip Protter, Stochastic Integration and Differential Equations.
  • T. M. Liggett,  Continuous Time Markov Processes: An Introduction
  • Ioannis Karatzas and Steven E. Shreve. Brownian motion and stochastic calculus.

    Texts in Mathematics. Spring Ier, New York, 1988. in Math

    ematics. Springer, Ne24York, w 88.

    . Graduate

    Texts in Mathematics. Springer, New York, 1988.

    Brownian motion and stochastic calculus

    . Graduate

    Texts in Mathematics. Springer, New York, 1988.

Exercise Classes

Time and date of the Exercise Classes:

1.)  Wednesday         8 - 10 in room N.008 in the MZ,
2.)  Wednesday       16 - 18 in room N.008 in the MZ.

 

Start of the exercise classes:

October 24.  
 

 

Collection of the exercise sheets:

Tuesdays before the lecture.

 

 


Admission criteria 

  • Each group can consist of maximally 3 persons,
  • Each group needs to obtain at least 50% of all the points,
  • Each group has to submit at least 90% of all the exercise sheets.


Exercise Sheets

Sheet 1
Sheet 2 Typo in exercise 2 has been corrected!
Sheet 3
Sheet 4
Sheet 5
Sheet 6 Typo in exercise 3a has been corrected!
Sheet 7 Typo in exercise 3i has been corrected!
Sheet 8
Sheet 9
Sheet 10
Sheet 11
Sheet 12

 

 

 

Exams 

 

The examination will be oral.

 

First attempt:

Date: February 04, 2019 - February 08, 2019
Place: Prof. Bovier's office (3.037 in the MZ)

Note that you will have to register for a time slot for the first examination period. In
order to do so, you will have to come to the office of Mrs. Wang (3.036 in the MZ)
at one of the following times:
• January, 7; 9:30-11:30,
• January, 8; 9:30-11:30,
• January, 10; 9:30-11:30,
• January, 14; 14:00-16:00,
• January, 15; 14:00-16:00,
• January, 17; 14:00-16:00.
Please note that you have to register for a time slot, even if you only plan to do
the second exam! In that case, we give you an imaginary exam date, but we need
your sign. If you have a full agenda, than please come to the registration as soon as
possible in order to make sure that you get a suitable time slot for your exam. The
earlier you come, the more options you have!

 

 

 

 

 

 

Second attempt:

Date: March 18, 2019 - March 22, 2019
Place: Prof. Bovier's office (3.037 in the MZ)

 

In the case that you want to (or have to) take the exam in the second examination
period, then you have to register for a time slot again. Hence, you will have to come
to the office of Mrs. Wang (3.036 in the MZ) a second time. The possible dates are
the following.
• February, 11; 9:30-11:30,
• February, 12; 9:30-11:30.