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.