Department of Mathematics

Seminar in Stochastics: Markov Chains

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Organizers Prof. Dr. Martin Schweizer, Christoph Frei
Place HG G 26.5
Time Tuesdays, 15:15-17:00
First Meeting Tuesday, 24.10.2006, 15:15
We welcome early registrations (before the start of term) and may even hand out some topics on that basis.
Contact Christoph Frei
Language Talks can be given either in German or in English.
Requirements Basics in probability and measure theory (can be concurrent with the course “Wahrscheinlichkeitstheorie” if you are brave)
Description We study parts of the book “Markov Chains” by Daniel Revuz, North-Holland, 1984. A Markov chain is a discrete-time stochastic process with the Markov property. This means that predictions about the future do not depend on the entire past, but only on the present state of the process. Markov chains appear in many areas and applications, e.g. in biology and physics as well as in actuarial mathematics and mathematical finance. Our focus is on homogeneous Markov chains in a general (measurable) state space and their fruitful relationship to potential theory and other associated topics.
Literature “Markov Chains” by Daniel Revuz, North-Holland, 1984

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