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world:markovchains

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A course on Markov Chains: Advanced topics

Registration to the course

Program of the course

  • Where? Institut de Mathématiques d'ORSAY. Room: 1A14.
  • When? Every course will hold on Thursday from 9H to 12H00 (exact dates are given below).
  • Who? The list of the teachers are given below with their acronyms:
    • AD: Alain Durmus.
    • RD: Randal Douc.
  • What? The chapters refer to the book: Markov chains by R. Douc, E. Moulines, P. Priouret and P. Soulier. Springer publishers.
Prof Chapters Topics Material Cours
Sept. 26 (AD) Chapt. 1 and 2. Introduction to Markov chains Exercise sheet 1 1
Oct. 3 (AD) Chapt. 2 and 3 Invariance, Reversibility. MCMC. Canonical space. Stopping time, (Strong) Markov property 2
Oct. 10 (AD) Chapt. 3 Harmonic functions, martingales, drift functions. Maximum principle, Solidarity property. Comparison theorem. 3
Oct. 16 Pause
Oct. 24 (AD) Chap 5 Atomic chains (atoms, recurrence, transience). 4
Oct 31 (AD) Chapt 5 Atomic chains (continued) 5
Nov 7 (RD) Chapt. 8 Ergodic theory. Chapitre 3 de ce polycopié 6
Nov 14 (RD) Chap 9 Renewal theory, Kac's theorem 7
Nov 21 (RD) Chapt. 9 Blackwell's and Kendall's theorem 9
Nov 28 (RD) Chapt. 19 Coupling methods, small sets and geometric ergodicity polycopié 10
Dec 2 (RD) Chap 19 End of geometric ergodicity. Revision's exercises.

Example of an examination

Contact

name email adresses
Alain Durmus alain.durmus “Arobase” polytechnique.edu
Randal Douc randal.douc “Arobase” polytechnique.edu

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world/markovchains.1728112392.txt.gz · Last modified: 2024/10/05 09:13 by rdouc