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Institute of Stochastics

Secretariat
Kollegiengebäude Mathematik (20.30)
Room 2.056 und 2.002

Address
Karlsruher Institut für Technologie
Institut für Stochastik

Englerstr. 2
D-76131 Karlsruhe

Postadresse:
D-76128 Karlsruhe

Office hours:
Mo-Fr 10:00 - 12:00

Tel.: +49 721 608 43270/43265

Fax.: +49 721 608 46066

Stochastic Processes (Summer Semester 2010)

Lecturer: Prof. Dr. Nicole Bäuerle
Classes: Lecture (1589), Problem class (1590), Problem class (1591)
Weekly hours: 4+2+2


Please note that the English tutorial has been moved to Wednesday 11:30-13:00, Plank-Hörsaal

The tutorial at 11.30 is held in English, the one at 14.00 in German.

In Shuffling Cards, 7 Is Winning Number (NY Times)

Schedule
Lecture: Tuesday 8:00-9:30 Chemie-Hörsaal II
Wednesday 8:00-9:30 Neuer Hörsaal
Problem class: Wednesday 14:00-15:30 Hörsaal 107 (50.31)
Problem class: Wednesday 11:30-13:00 Plank-Hörsaal
Lecturers
Lecturer, Problem classes, Problem classes Prof. Dr. Nicole Bäuerle
Office hours: by appointment
Room 2.016 Kollegiengebäude Mathematik (20.30)
Email: nicole.baeuerle@kit.edu
Lecturer, Problem classes, Problem classes Dipl.-Math. oec. Dominik Joos
Office hours:
Room Allianz-Gebäude (05.20)
Email: joos@kit.edu

Content

In the first part of the lecture we consider Markov chains in discrete- and continuous-time. These kind of processes are often taken as models for the random evolution of systems in various areas like e.g. telecommunication, production planning, biology and physics. The aim is to show some convergence results which describe the long-term behavior of these systems.

In the second part of the lecture we discuss in detail the Brownian motion, in particular its existence, path properties, the reflexion principle and the strong Markov property.

Prerequisite

Some knowledge of probability theory is required.


Problem sheets

Examination

Oral exams (English or German) will be held on 28th of June and 15th of September. Registration is possible from 10th June until 16th July at Tatjana Dominic's office (5A-22).

References