Prof. Dr. Anton Bovier, Kaveh Bashiri

**Markov Processes**

**Wintersemester 2018/2019**

**Lecture**

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

Place: | Kleiner Hörsaal, |

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.