Stochastic Processes

Credits	8 credit points
Instructors	Spieksma, F.M. (Universiteit Leiden)
E-mail	Spieksma@math.leidenuniv.nl
Aim	To provide a theoretical basis for the study of continuous-time stochastic processes.
Description	This course is an introduction to the theory of continuous-time stochastic processes. We plan to treat a number of classical results and to introduce two important classes of processes. These processes are so-called martingales and Markov processes. The main part of the course is devoted to developing fundamental results in martingale theory (first in discrete time and then in continuous time) as well Markov process theory, with an emphasis on the interplay between the two. Special features of Markov processes that we aim to discuss, are the strong Markov property, the generator, explosion phenomena as well as limit behaviour. The latter provided time permits. As a main illustration of the theory, we will study the fascinating properties of Brownian motion, an important process that is both a martingale and a Markov process. We also plan to discuss applications to processes on a countable state space, such as the Poisson process, and birth-death processes, which play an important role in queueing theory. If there is any time left, we can study other examples of Markov processes. For instance Brownian motion in higher dimensions, diffusions and Levy processes, countable state space Markov processes and counting processes.
Organization	Each class will be three 45 minute time slots.
Examination	Homework exercises (compulsary and in principle weekly!) and oral exam. The final grade is based on the results of both homework and oral exam. The deadline for each assignment is two weeks after the announcement, unless stated otherwise.
Literature	Lecture Notes, to be available on the webpage of the instructor. The lecture notes are an extended version of the Lecture Notes ``An Introduction to Stochastic Processes in Continuous Time'' by Prof. H. van Zanten.
Prerequisites	We assume that students have a solid background in the measure theoretic foundations of probability theory, as well as some knowledge of discrete-time martingales. A crucial prepatory course is the Mastermath course ``Measure Theoretic Probability''.
Remarks	Homepage of the course: http://www.math.leidenuniv.nl/~spieksma/SPspring08.html

Last changed: 22-05-2013 16:30