MATS256 Advanced Markov Processes (5 cr)

• Existence of Markov processes,
• strong Markov processes,
• different approaches of certain classes of Markov processes: semigroup, infinitesimal generator, martingale problem, Dirichlet form, stochastic differential equation,
• Feller processes,
• Lévy processes

• knows Kolmogorov's existence theorem,
• knows about the main properties of strong Markov processes, Feller processes and Lévy processes,
• understands the different approaches of certain classes of Markov processes and the benefits from that, for example how to construct weak solutions to stochastic differential equations,
• learns to explain and present his/her own results to others and to discuss proofs from the course.

The course is given every second year. It is given in 2021 and 2023.