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SF3953 Markov Chains and Processes
Markov chains form a fundamental class of stochastic processes
with applications in a wide range of scientific and engineering
disciplines. The purpose of this PhD course is to provide a
theoretical basis for the structure and stability of discrete-time,
general state-space Markov chains. The course, which is aimed at
PhD students in matematical statistics but is open to others,
comprises eight lectures and three exercise classes. During the spring
semester 2017, these meetings take place on
16 Feb, 13-15, room 3418 (Markov chains: basic definitions)
17 Feb, 10-12, room 3418 (stopping times and the strong Markov property)
1 March, 15-17, room 3418 (exercise class)
2 March, 13-15, room 3418 (atomic chains)
3 March, 10-12, room 3418 (atomic chains, cont'd)
15 March, 15-17, room 3721 (exercise class)
16 March, 14-16, room 3721 (minorisation and splitting)
17 March, 13-15, room 3721 (general phi-irreducible chains)
19 April, 15-17, room 3418 (exercise class)
20 April, 13-15, room 3418 (ergodic theory and the law of large numbers)
21 April, 10-12, room 3418 (central limit theorems)
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