Institute for applied mathematics

 

V4F2 Markov Processes 

WS 2017/2018 

Tuesday 16.15-17.45 and Thursday 10.15-11.45, Zeichensaal, Wegelerstr. 10. 

Tutorial classes: Nikolay Barashkov, Robert Crowell / Group 1: Mon 12-14 N0.007(Neubau) and Group 2: Wednesday 8-10 SemR 1.008.

Exam: to be fixed.

Topics

  • Basic theory of Markov processes, strong Markov property.
  • Markov chains in discrete time (Generator, martingales, recurrence and transience, Harris Theorem, ergodic averages, central limit theorem)

Prerequisites 

Basic measure theory, conditional expectations, discrete time martingales, Brownian motion.

The lecture notes of Prof. Bovier SS2017 foundations course on Stochastic Processes are available here (pdf). There you find all the necessary background material. 

Lecture Notes

The first part of the course will be mainly based on Prof. Eberle's lecture notes for Markov processes WS16/17 (pdf) and on Ligget's book. Some notes for the lectures will be posted here:

  • Note 1 : Introduction, examples, the canonical setup and the strong Markov property. (pdf) [version 1.1, posted 24/10/2017]
  • Note 2 : Martingale connection, recurrence of discrete Markov chains, Forster-Lyapounov criteria for recurrence. [version 1, posted 2/11/2017]

Further References

  • Ligget: Continuous Time Markov Processes, AMS
  • Chung: Lectures from Markov Processes to Brownian Motion, Springer
  • Eberle: Lecture notes for the course "Markov Processes" 

Problem sheets

  • Sheet 1 (due on thursday 2/11, collected during the lecture)
  • Sheet 2 (due on tuesday 7/11, collected during the lecture)
  • Sheet 3 (due on tuesday 14/11, collected during the lecture)
  • Sheet 4 (due on tuesday 21/11, collected during the lecture)

Course Journal

  • Lecture 10/10 : Overview of the course. Definition of a Markov process. Transition kernels.
  • Lecture 12/10 : Contruction of a Markov process via Kolmogorov's theorem. General Markov property via the shift operator. Examples.
  • Lecture 24/10 : Other examples of Markov processes: Brownian motion and the Poisson process. The need for the canonical setup. Feller property and the right continuous filtration.
  • Lecture 26/10 : Stopping times. The Strong Markov property. Examples where the strong Markov property does not hold.
  • Lecture 2/11 : Zeros of the Brownian motion. Martingale problems for Markov chains. 
  • Lecture 7/11 : Lyapounov functions, recurrence properties via supermartingales of the Markov chain.
  • Lecture 9/11 : Recurrence and transience of discrete Markov chains. Classification of states and irreducibility. Forster-Lyapounov criteria for recurrence.
  • Lecture 14/11 : Recurrence for chains in general state spaces. Weak convergence in Polish spaces. Existence of invariant measures. 
  • Lecture 16/11 :

 

 

News

Prof. Dr. S. Müller erhält den diesjährigen Lehrpreis der Universität Bonn (07.07.17).

Prof. Dr. Michael Ortiz kommt als Bonn Research Chair ans IAM (Pressemitteilung, 29.7.2016).

Prof. Dr. S. Conti erhält den diesjährigen Lehrpreis der Universität Bonn (05.07.2016).

Prof. Dr. Karl-Theodor Sturm, Koordinator des Hausdorff Zentrums für Mathematik an der Universität Bonn, erhält für seine eigene Forschung einen begehrten Advanced Grant des Europäischen Forschungsrats (ERC). (Pressemitteilung 21.04.2016)

Prof. Dr. Stefan Müller has been invited to become full member of the scientific society “Academia Europaea” in November. Only European scientists, who have been recommended by a review board and are confirmed by a vote of the council, can join the society. (06.01.2016)

Contact

Managing Director: Prof. Dr. Anton Bovier
Chief Administrator: Dr. B. Doerffel
geschaeftsfuehrung@iam.uni-bonn.de
Imprint

Mailing address

Institute for Applied Mathematics
University of Bonn
Endenicher Allee 60
D-53115 Bonn / Germany