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401-4541-00L 6 Credits BSC , NDS , MSC D-GESS , D-ARCH , D-MTEC , D-MATH , D-BAUG , D-PHYS

Seminar on Stochastics: Markov Chains

Seminar in Stochastics: Markov Chains

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR n/a

Last Updated: 2026-02-05 15:06:39

Abstract

Seminar on Markov chains on a general state space: Basic concepts, potential theory and related topics

Objective

We study parts of the book “Markov Chains” by Daniel Revuz, North-Holland, 1984. A Markov chain is a discrete-time stochastic process with the Markov property. This means that predictions about the future do not depend on the entire past, but only on the present state of the process. Markov chains appear in many areas and applications, e.g. in biology and physics as well as in actuarial mathematics and mathematical finance. Our focus is on homogeneous Markov chains in a general (measurable) state space and their fruitful relationship to potential theory and other associated topics.

General Information

Language
English
Levels
BSC , NDS , MSC
Frequency
Yearly recurring

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
seminar Seminar in Stochastics: Markov Chains
  • Tue 15:15-17:00 (HG G 26.5)
  • 19.12 Date 17:15-19:00 (HG G 26.5)
  • 09.01 Date 17:15-19:00 (HG G 26.5)
2 h weekly

Offered In