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Institute of Stochastics

Secretariat
Kollegiengebäude Mathematik (20.30)
Room 2.056 und 2.002

Address
Hausadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Englerstr. 2
D-76131 Karlsruhe

Postadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Postfach 6980
D-76049 Karlsruhe

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

Tel.: +49 721 608 43270/43265

Fax.: +49 721 608 46066

Stochastische Prozesse (Summer Semester 2008)

Lecturer: Prof. Dr. Nicole Bäuerle
Classes: Lecture (1594), Problem class (1595)
Weekly hours: 4+2


Schedule
Lecture: Tuesday 8:00-9:30 Seminarraum 12
Wednesday 8:00-9:30 Seminarraum 12
Problem class: Monday 14:00-15:30 Seminarraum 12
Lecturers
Lecturer Prof. Dr. Nicole Bäuerle
Office hours: by appointment.
Room 2.016 Kollegiengebäude Mathematik (20.30)
Email: nicole.baeuerle@kit.edu
Problem classes Anja Blatter
Office hours:
Room Allianz-Gebäude (05.20)
Email: Anja.Blatter@stoch.uni-karlsruhe.de

Contents

The first part of the course considers Markov-chains in discrete and continuous time. Applications in telecommunication, biology and physics are given. The main aim is the derivation of convergence results.

The second part of the course deals with the Brownian motion, in particular existence, path behavior and the Markov property.

Requirements

Probability (Stochastik) 2


Important!!

The course starts Monday 14th of April at 2 o'clock.

Examination

By appointment.

References

Bremaud, P. (1999): Markov Chains: Gibbs Fields, Monte Carlo Simulation and Queues. Springer, New York.
Karatzas, I. and S. Shreve (1991): Brownian motion and stochastic calculus. Springer, New York.
Resnick, S. (1992): Adventures in Stochastic Processes. Birkhäuser, Boston.
Ross, S. (1996): Stochastic Processes. Wiley, New York.