MATS256 Advanced Markov Processes
Kurssi alkaa ja päättyy
28.10.2019 - 22.12.2019.Kurssin sisältö
Content
* 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
OR
b) the number of points in the final exam.
At least half of the points are needed to pass the course.
* 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.