Department Mathematik



Stochastic Processes WS 16/17


Please register for the course here.


[01.02.17] The schedule for the exam is out. Check the exam section!

[25.01.17] There is more information available on the exam. Check the exam section!

[22.12.16] There will be no exercise sheet in the first week of the new year; there should be enough material on Sheet 9 to keep you entertained. The deadline for Sheet 9 has been extended for an extra week.

[20.10.16] The lecture on Thursday, November 3, will take place in B052.

[20.10.16] There will be no exercise class on the 1st of November.

Times and locations

Lecture: Monday 10:00-12:00 c.t. B 0005 Markus Heydenreich
Thursday 14:00-16:00 c.t. B 0005
Exercise Class: Tuesday 14:00-16:00 c.t. B 0004 Thomas Beekenkamp
Please check the news section for cancellations and room changes.

Exercises and Homework

Due on Solutions to tutorial exercises
Sheet 1 Monday, October 31st Solutions 1
Sheet 2 Monday, November 7th Solutions 2
Sheet 3 Monday, November 14th Solutions 3
Sheet 4 Monday, November 21st Solutions 4
Sheet 5 Monday, November 28th Solutions 5
Sheet 6 Monday, December 5th Solutions 6
Sheet 7 Monday, December 12th Solutions 7
Sheet 8 Monday, December 19th Solutions 8
Sheet 9 Monday, January 16th Solutions 9
Sheet 10 Monday, January 23rd Solutions 10
Sheet 11 Monday, January 30th Solutions 11
Sheet 12 Monday, February 6th Solutions 12

The exercise sheets are posted every Monday, the tutorial exercises are for the exercise class on Tuesday and the homework will be due on the next Monday. Please put your homework in homework box 56 on the first floor.
You can get a bonus for your grade, the height of which depends on the amount of points obtained from the homework exercises, with thresholds at 50% and 75% of the total amount of points. To keep track of your points it is necessary that you are registered for the course. The homework is to be handed in individually, but working together is strongly encouraged.
The homework will be graded by Florian Ingerl, he can be reached at imelflorianingerl [AT] gmail [DOT] com. It will be handed back in the exercise class in the next week, any leftover homework will be deposited in the return box.

Course Outline

The following topics will be treated in the course:
  1. Basic Notions
  2. Brownian motion
  3. Markov chains
  4. Feller processes
  5. Interacting particle systems

Lecture notes of last year written by a student can be found here. Disclaimer: these notes have not been checked for correctness and the content of this years course may vary.


The main book for this course is
  • T.M. Liggett, Continuous Time Markov Processes, AMS 2010.
The following is a list of other relevant literature.
  • L.B. Koralov and Ya. Sinai, Theory of Probability and Random Processes, 2nd edition, Springer 2010.
    - An alternative presentation of the material
  • A. Klenke, Probability Theory, Springer 2014.
    - An even different presentation of the material, also available in German
  • P. M├Ârters, Y. Peres, Brownian Motion, Cambridge University Press 2010. Link
    - Specifically for the chapter on Brownian motion
  • D.A. Levin, Y. Peres, E.L. Wilmer, Markov Chains and Mixing Times, AMS 2009. Link
    - Specifically for the chapter on Markov chains
  • R. Durrett, Probability. Theory and Examples, 4th edition, Cambridge University Press 2010. Link
    - Contains all the basics in probability theory


The oral exam will be held on 22nd, 23rd and 24th of February in room B216. The schedule can be found here. If you are not on this list and would like to participate in the exam, let me know as soon as possible.