Frankfurt Lectures

May-June, 2013

 

 

Martingale problems and stochastic equations for Markov processes

Monday (Raum 711 (groß)) and Wednesday (Raum 110) 8:45-10:00

 

References

 

Weak and strong solutions of general stochastic models

 

The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities. 

Elec. J. Probab. 12, (2007), 951-965.

 

Stationary solutions and forward equations for controlled and singular martingale problems  (with Richard H. Stockbridge)

Elec. J. Probab. 6 (2001), paper 15.

 

The filtered martingale problem.  (with Giovanna Nappo)

The Oxford Handbook of Nonlinear Filtering, Dan Crisan and Boris Rozovskii, eds. (2011), 129-165.

 

Weak convergence of stochastic integrals and differential equations II (with Philip E. Protter). 

Probabilistic Models for Nonlinear Partial Differential Equations. D. Talay and L. Tubaro, eds.

Lecture Notes in Math., 1627, Springer-Verlag, Berlin.  1996.  1-38, 197-279.

 

The infinitely-many-alleles model with selection as a measure‑valued diffusion (with Stewart Ethier). 

Stochastic Methods in Biology.  Lecture Notes in Biomath. 70, Springer-Verlag, Berlin (1987), 72-86.

This paper contains a duality proof of uniqueness for Fleming-Viot models.

 

 

Continuous time Markov chains and models of chemical reaction networks

Tuesday 8:30-10:00 (Raum 711 (groß))

 

David F. Anderson and Thomas G. Kurtz. Continuous time Markov chain models for chemical reaction networks.