Markov Processes WS 23/24

Prof. Dr. Anton Bovier, Manuel Esser





Start of the lecture:                October 10,  2023,                                        

Wegelerstraße 10

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

Lecture notes

The lecture notes for this course can be found here. Please send me an email if you want to listen.

The lectures will probably be streamed here

Recordings are here.


  • L.C.D. Rogers and D. Williamson, Diffusions, Markov processes and martingales. Vol. 1+2.
  • S. Ethier and Th. Kurtz, Markov Processes. Wiley, 1986
  • 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. 


Exercise Classes

Time and date of the Exercise Classes:

Monday 14 - 16 (N0.003) Yi Tian

Friday    10 - 12 (N0.003) Alexander Becker

You need to register for both the course and for the exercise classes on ecampus. If you want to attend the exams, do not forget to register on BASIS in time. For any questions regarding the organization of the lecture, write an email to

Start of the exercise classes:        October 13,  2023.

Collection of the exercise sheets:  eCampus

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 4

Sheet 5

Sheet 6

Sheet 7

Sheet 8

Sheet 9

Sheet 10

Sheet 11

Sheet 12




The examination will be oral. You need to register for a slot on eCampus.

If possible, attend the exams in February. However, you can also skip your first examination (it will be graded as a failure), and only participate in March. In this case, write an email to

Look here for further information.


First attempt:

February 5, 6, 14 and 15, 2024

Regsitration for the first attempt on eCampus is now opend and will be closed on January 28.



Second attempt:

March 26 and 27, 2024

Regsitration for the second attempt on eCampus is now opend and will be closed on March 04.