Probability and Stochastic Analysis - University of Bonn

Markov Processes II, Summer term 2016/17

Fridays 14.15-16.00, Room 0.006, Endenicher Allee 60

Course starts on Friday 28.4. !!

Lecture course: Andreas Eberle

Exam: oral, 14./15.8. or individual appointment

Possible topics to be covered:

  • Analytic approach to convergence to equilibrium for Markov processes (Spectral gap, Logarithmic Sobolev inequalities, Isoperimetric inequalities).
  • Concentration of measure, Central Limit Theorem and Large Deviations for Markov Processes in continuous time.
  • Couplings of diffusion processes.

The course is a continuation of the Markov processes course in winter semester, but it should also be accessible for students with a different background.

Lecture Notes: The most recent version of my lecture notes on Markov Processes is available here. In this course we will mainly cover Chapter 6. Please let me know any corrections (small or large) !

Further Material:

April 2017 Andreas Eberle