Markov Chains and Monte Carlo Simulation
Lecturer
Jun.-Prof. Dr. Zakhar Kabluchko
Exercises
Dipl.-Math. Christian Hirsch
Time and place
Lectures
Tuesday, 16-18 (HeHo 18, Room 120)
Exercise session
Tuesday, 12 - 13 (HeHo 18, Room 120)
Written exam
Monday, July 18, 9:00 AM, Room H20
Exercise sessions start at April 19, 2011.
Type
2 hours lecture + 1 hour exercises
Starting from the 2nd homework sheet we will no longer accept joint homework solutions. Sheets containing more than one student name will not be graded.
For the assessment of your homework solutions a registration at SLC is required
Problem sets
problem set 4, appendix to solution of 4.2
problem set 6, sketch of solution for 6.4
problem set 8, sketch of solution to 8.2-8.4
problem set 11, sketch of solution for 11.3d
problem set 12 (corrected version of exercise 2)
mock exam , sketch of solution for problems 3 and 5b
Prerequisites
Probability Calculus
Intended Audience
Bachelor students in Mathematics, Business Mathematics and Mathematical Biometrics; Master students in Finance
Credit points: 4
Exam
The second exam takes plays on 29th of September, between 12:00 and 17:00 in the office of the lecturer (E00, Helmholtzstr. 18). The participants will receive an e-mail with the exact time of their exam. You may use the following text by Nicolas Privault to prepare for the exam: PDF
Literature
- O. Häggström: Finite Markov Chains and Algorithmic Applications. Cambridge University Press, 2002
- S. I. Resnick: Adventures in Stochastic Processes. Birkhäuser, 1992
- Y. Suhov, M. Kelbert: Probability and Statistics by Example. Volume 2. Markov Chains: A Primer in Random Processes and their Applications. Cambridge University Press, 2008
- T. Rolski, H. Schmidli, V. Schmidt, J. Teugels: Stochastic Processes for Insurance and Finance. Wiley, 1999
- E. Behrends: Introduction to Markov Chains. Vieweg, 2000
- P. Bremaud: Markov Chains, Gibbs Fields, Monte Carlo Simulation, and Queues. Springer, 2008