Perfect Simulation for Chains of Finite and Infinite Order

What it is about

You will learn about models of stochastic processes beyond finite Markov chains, in particular chains of infinite order, their properties and how to simulate them exactly (perfect simulation). In the end you will be able to assess existence and uniqueness questions, classify examples and apply perfect-simulation algorithms for such processes.

What you will be able to do

• Understanding of chains of infinite order
• Familiarity with perfect-simulation procedures (e.g., Coupling from the Past)
• Knowledge of convergence, regeneration and loss-of-memory properties
• Knowledge of Countable Mixtures of Markov Chains and Markov-approximations

What the module consists of

• LectureConveying the theory, examples and discussion
• TutorialWorking on concrete examples and exercises for deepening understanding

Teaching method

• Lecture with examplesfor presenting the content and demonstrating methods
• Discussionto involve students and promote own analyses
• Tutorial sessionsfor independent work on examples and to verify learning progress