After successful completion of the course, students are able to understand the basic concepts underlying the theory of discrete-time and continuous-time Markov chains and discrete-time martingales. They are also able to apply these concepts in a variety of applications.

See lectures

Discussion of the problem sheets previously provided by the lecturer

Face-to-face classes. Due to the COVID pandemic, there may be changes in the teaching modalities.

Students will be required to work out problems at home and present them during the class. There will also be a written exam in June or July (date to be agreed). The final grade will take into account these two components.

• Norris, J. (1997). Markov Chains. Cambridge University Press. doi:10.1017/CBO9780511810633
• Williams, D. (1991). Probability with Martingales. Cambridge University Press. doi:10.1017/CBO9780511813658

Basic probability theory, calculus and linear algebra