On July 30th, 2024, due to an important database update, there will be service interruptions in the Student Self-Service and Workforce Management areas between 8 AM and 11 AM. Thank you for your understanding.

107.241 Theory of stocahstic processes
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019S, VO, 3.0h, 5.0EC

Properties

Semester hours: 3.0
Credits: 5.0
Type: VO Lecture

Aim of course

Fundamental knowledge of the theory of stochastic processes

Subject of course

general theory; random times; measurability; martingales with discrete time: convergence theorems, maximal inequalities; martingales with continuous time: path behaviour, regularization; Brownian motion, Poisson process; Markov processes;invariance prnciple; stochastic integration; foundations of stochastic diffenrential equations and Itô integral

Lecturers

Grill, Karl

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Tue	11:00 - 11:20	05.03.2019	Sem.R. DA grün 06A	Vorbesprechung - Vorlesungstermine werden in der Vorbesprechung mit Studierenden besprochen
Tue	11:00 - 13:00	12.03.2019 - 25.06.2019	Sem.R. DA grün 06A	.
Wed	12:00 - 13:00	13.03.2019 - 26.06.2019	Sem.R. DA grün 06A	.

Show single appointments

Theory of stocahstic processes - Single appointments

Day	Date	Time	Location	Description
Tue	05.03.2019	11:00 - 11:20	Sem.R. DA grün 06A	Vorbesprechung - Vorlesungstermine werden in der Vorbesprechung mit Studierenden besprochen
Tue	12.03.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	13.03.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	19.03.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	20.03.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	26.03.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	27.03.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	02.04.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	03.04.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	09.04.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	10.04.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	30.04.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Tue	07.05.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	08.05.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	14.05.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	15.05.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	21.05.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	22.05.2019	12:00 - 13:00	Sem.R. DA grün 06A	.
Tue	28.05.2019	11:00 - 13:00	Sem.R. DA grün 06A	.
Wed	29.05.2019	12:00 - 13:00	Sem.R. DA grün 06A	.

Examination modalities

written and oral examination

Course registration

Begin	End	Deregistration end
04.03.2019 00:00	04.04.2019 00:00

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 394 Technical Mathematics	Mandatory elective
066 395 Statistics and Mathematics in Economics	Mandatory elective
066 453 Biomedical Engineering	Not specified
860 GW Optional Courses - Technical Mathematics	Not specified

Literature

Bauer, H.: Wahrscheinlichkeitstheorie Neveu, J.: Martingales à temps discret

Karatzas, I.; Shreve, St.E.: Brownian motion and stochastic calculus

Rogers, L.C.G.; Williams, D.: Diffusions, Markov processes and martingales

Previous knowledge

Measure and probability theory

Language

German