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.  

 

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 

 

 

 

Exams 

 

The examination will be oral.

 

First attempt:

February 04, 2019 - February 08, 2019 

 

 

 

 

 

 

Second attempt:

March 18, 2019 - March 22, 2019