Probability and Stochastic Analysis - University of Bonn
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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. However, there is an additional tutorial at October 17, from  8 - 10 in room N.008.
The aim of this tutorial is to answer questions concerning the lecture. So if you have a question, then you should, prior to the tutorial, write the tutor and email, and he will answer this question during the tutorial. This is his email address. Especially those who did not attend the lectures "Stochastic processes" or "Foundations in Stochastic Analysis" are recommended to visit this additional tutorial and to ask questions.

 

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

 

 

 

Exams 

 

The examination will be oral.

 

First attempt:

TBA

 

 

 

Second attempt:

TBA