Introduction to the theory of stochastic processes. Markov chains: ergodic theory, coupling, mixing times, with applications to random walks, card shuffling, and the Monte Carlo method. The Poisson process, continuous time Markov chains, convergence to equilibrium for some simple interacting particle systems.
Curriculum
teacher profile teaching materials
An introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Mutuazione: 20410441 CP420-INTRODUZIONE AI PROCESSI STOCASTICI in Matematica LM-40 R CAPUTO PIETRO
Programme
Discrete-time and continuous-time Markov chains. Convergence theorems. Coupling methods. Examples and applications.Core Documentation
Markov Chains and Mixing Times, by D. Levine, Y. Peres and E. Wilmer, AMS 2009 - disponibile online pdfAn introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Attendance
6 hours weeklyType of evaluation
Interview teacher profile teaching materials
An introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Mutuazione: 20410441 CP420-INTRODUZIONE AI PROCESSI STOCASTICI in Matematica LM-40 R CAPUTO PIETRO
Programme
Discrete-time and continuous-time Markov chains. Convergence theorems. Coupling methods. Examples and applications.Core Documentation
Markov Chains and Mixing Times, by D. Levine, Y. Peres and E. Wilmer, AMS 2009 - disponibile online pdfAn introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Attendance
6 hours weeklyType of evaluation
Interview teacher profile teaching materials
An introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Programme
Discrete-time and continuous-time Markov chains. Convergence theorems. Coupling methods. Examples and applications.Core Documentation
Markov Chains and Mixing Times, by D. Levine, Y. Peres and E. Wilmer, AMS 2009 - disponibile online pdfAn introduction to Markov processes, by D. Stroock, Springer 2013
Markov Chains, by J.R. Norris, Cambridge University Press 2006
Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).
Reference Bibliography
Markov Chains and Mixing Times, by D. Levine, Y. Peres and E. Wilmer, AMS 2009 - disponibile online pdf An introduction to Markov processes, by D. Stroock, Springer 2013 Markov Chains, by J.R. Norris, Cambridge University Press 2006 Lectures on finite Markov chains, by L. Saloff-Coste, Lecture Notes in Math. 1665, pp.301-413 (1997).Attendance
6 hours weeklyType of evaluation
Interview