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Stochastische Prozesse (Summer Semester 2008)

Lecture: Tuesday 8:00-9:30 Seminarraum 12
Wednesday 8:00-9:30 Seminarraum 12
Problem class: Monday 14:00-15:30 Seminarraum 12


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.


Probability (Stochastik) 2


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


By appointment.


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.