MATS256 Advanced Markov Processes

by admin last modified Nov 03, 2020 09:05 PM

Course begins and ends

Oct 28, 2019 - Dec 22, 2019.

Course contents


* existence of Markov processes,
* strong Markov processes,
* different approaches of certain classes of Markov processes: semigroup, infinitesimal generator, martingale problem, Dirichlet form, stochastic differential equation,
* Feller processes,
* Lévy processes

Completion methods

Course exam and exercises. Part of the exercises may be obligatory.

Final exam or oral exam are the other options.

Assessment details

The grade is based on
a) the number of points in the course exam and possibly additional points from exercises
b) the number of points in the final exam.

At least half of the points are needed to pass the course.

* the student knows Kolmogorov's existence theorem
* the student knows about the main properties of strong Markov processes, Feller processes and Lévy processes
* the student understands the different approaches of certain classes of Markov processes and the benefits from that, for example how to construct weak solutions to stochastic differential equations.

The course is given every second year. It is given in 2017 and 2019.