discipline

MSC in Mathematics, Specializations

subject

Processes with independent increments

lecturers

György Michaletzky. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

credits

2

period

 

curriculum

The characteristic function of stochastic processes with stationary and independent increments. Lévy-Hincsin theorem.

Point processes with independent increments as stochastic integrals with respect to random point measure. Decomposition of the trajectories of stochastic processes with independent increments.

Gaussian-processes. Differential equation for the functionals of stochastics processes with independent increments. Infinitesimal generator of Markov-processes. Feller-processes. Potentials.

Erdős-Kac- theorem.

literature

 

form of tuition

Lectures

mode of assessment

oral exam