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Instructors: Prof. Dr. rer. nat. Frank Aurzada; Micha Buck
Event type:
Lecture & Exercise
Org-unit: Dept. 04 - Mathematics
Displayed in timetable as:
04-10-0373-vu
Subject:
Crediting for:
Hours per week:
6
Language of instruction:
German and English
Min. | Max. participants:
- | -
Course Contents:
- Levy processes: infinitely divisible distributions, Levy-Khinchine representation, Poisson random measures, Levy-Ito decomposition, stable Levy processes, subordinators
- random walks: relations to Levy processes, fluctuation theory
- Markov chains in discrete time, elementary theory of Markov chains in continuous time, renewal processes
- applications to queueing theory and risk theory
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