This course is a rigorous introduction to the theory of Markov processes where emphasis is given to the certain aspects of Markov processes theory that often appear in applications to economics and finance.

Main topics include:
1. Markov property, transition functions and semigroups
2. Feller processes, regularity of paths, and right continuity of filtrations
3. Strong Markov property
4. Brownian motion
5. Martingale problem of Stroock and Varadhan
6. Connections to partial differential equations
7. Diffusions and stochastic differential equations
8. Equivalent measure changes for diffusion processes
9. h-transforms and Markov bridges
10. Linear and non-linear filtering with Markov signal and observation processes
11. Applications to financial markets with asymmetrically informed agents

Information to lecture dates

Please notice, that the lecture will be blocked.  Dr. Cetin will come to Vienna a few times and then give the lecture to the given dates on Thursday and Friday.  Please go to the list of single appointments (directly below the table "Course dates") to see which dates are already confirmed.

Registration only necessary for lecture notes.

1. R. M. Blumenthal and R. Getoor: Markov Processes and Potential Theory
2. K. L. Chung and J. Walsh: Markov Processes, Brownian Motion and Time Symmetry
3. I. Karatzas and S. Shreve: Brownian Motion and Stochastic Calculus
4. D. Revuz and M. Yor: Continuous Martingales and Brownian Motion
5. D. Stroock and S. Varadhan: Multidimensional diffusion processes

Knowledge of martingale theory and stochastic calculus at the level of Oksendal's Stochastic Differential Equations