VO250068 + PS250069 Stochastic Processes

Lecturer: Prof. Henk Bruin

Please email H. Bruin for further information about this course.

Announcements

The test was returned on Thursday 15 December. For those who didn't score particularly high, there will be a resit opportunity on Thursday January 26, 10:00-10:45 in SR8 (in stead of the usual lecture slot).

The last exercise classes will be on January 16 and 23. The last lecture will be January 24. On January 26, there will be the opporunity to retake the test of the Exercise Classes.

For those wanting to do the oral exam early, please send me an email with suggested day/time. Modulo other obligations, I am available January 18-20 and 23-25, February 13-16 and from March 6 onwards.

Schedule and Lecture Rooms

Day	Time	Lecture room		from	until
Tuesday	16:45-18:15	SR11	Lecture	04.10.2016	24.01.2017
Thursday	10:00-10:45	SR11	Lecture	06.10.2016	26.01.2017
Monday	15:30-16:15	SR08	Exercises	10.10.2016	23.01.2017

Contents of Course

Literature

Scripts/Background reading.

Script Jiří Černý
Script Franz Hofbauer
P. Billingsley, Probability and Measure 3rd Edition ISBN-13: 978-0471007104 ISBN-10: 0471007102
Kai Lai Chung, Elementary probability and stochastic processes, Springer Verlag New York, 1974. ISBN 0-387-90159-0
E. Çinlar, Introduction to Stochastic Processes, Dover Publications Inc. 2013 ISBN-13: 978-0486497976 ISBN-10: 0486497976
W. Feller, An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd Edition 3rd Edition. ISBN-13: 978-0471257097 ISBN-10: 0471257095
C. Norris, Markov Chains, (Cambridge Series in Statistical and Probabilistic Mathematics) Cambridge Univ. Press, ISBN-13: 978-0521633963 ISBN-10: 0521633966
G. Grimmett, D. Welsh, Probability: An Introduction, Oxford Science Publ. ISBN 0 19 853264

Assessment/Leistungsbeurteilung

Oral Exam foir the VO, class tests + presenting exercises on the board for Proseminar (Exercises).

Weekly Progress

Day	Material	Exercises
Week 1
13/10/2016		no proseminar yet
4/10/2016	Introduction Finite Markov chains
6/10/2016	Finite Markov chains
Week 2
10/10/2016		Exercise sheet 1
11/10/2016	Finite Markov chains Markov property
13/10/2016	Finite Markov chains further examples
Week 3
17/10/2016		Exercise sheet 2
18/10/2016	Finite Markov chains Stationary distributions
20/10/2016	Perron-Frobenius Theorem
Week 4
24/10/2016		Exercise sheet 2
25/10/2016
27/10/2016
Week 5
31/10/2016		Exercise sheet 3
1/11/2016
3/11/2016
Week 6
7/11/2016		Exercise sheet 3
8/11/2016
10/11/2016
Week 7
14/11/2016		no exercise class
15/11/2016
17/11/2016	No lecture
Week 8
21/11/2016		Exercise sheet 4
22/11/2016
23/11/2016	No lecture
Week 9
28/11/2016		Exercise sheet 4
29/11/2016
30/11/2016
Week 10
5/12/2016		Exercise sheet 4
6/12/2016
8/12/2016	No class (Immaculate conception)
Week 11
12/12/2016		Class Test
13/12/2016	Characterisations Poisson Process
15/12/2016	Characterisations Poisson Process
Week 12
9/1/2017		Exercise sheet 5
10/1/2017	Characterisations Poisson Process
12/1/2017	Branching processes
Week 13
16/1/2017		Exercise sheet 5
17/1/2017
19/1/2017

Course material (Hand-outs/Exercises)

Exericse sheets.

Updated December 19 2016