Markov processes
Team
Lecturer: Martin Slowik
General Information
Ilias: Please register on Ilias for the course!
Contents:
- Markov processes, construction, strong Markov property
- Semigroup, resolvent, generator
- Dynkins formular, connections to PDEs
Format:
This is a robot lecture, only digital content + personal discussions. Please get into contact if you are interested in attending!
Lectures and Notes
You will find below both the link to the recorded lectures as well as my handwritten notes that I used in the videos (both are in german). During the lecture I will try out different concepts to record lectures (entire lecture as one video, lecture splitted in a certain number of videos depending on the content of the lecture ).
- Stochastische Prozesse, Filtrationen, Stoppzeiten
- Lecture 1: (recorded lecture, notes (PDF, 4 MB))
- Lecture 2: (recorded lecture, notes (PDF, 4 MB))
- Markovsche Prozesse, Übergangsfunktion, starke Markoveigenschaft
- Lecture 3: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 7 MB))
- Lecture 4: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 8 MB))
- Lecture 5: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 6 MB))
- Halbgruppen linearer Operatoren, Resolventen und Generatoren
- Lecture 6: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 8 MB))
- Lecture 7: (recorded lecture, notes (PDF, 3 MB))
- Lecture 8: (recorded lecture, notes (PDF, 5 MB))
- Lecture 9: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 7 MB))
- Funktionale von Markovprozessen und partielle Differentialgleichungen
- Lecture 10: (recorded lecture (part 1), recorded lecture (part 2), notes (PDF, 8 MB))