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.

2011S, 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

E107 Institute of Statistics and Probability Theory

Course dates

Day	Time	Date	Location	Description
Tue	08:00 - 09:00	01.03.2011 - 30.06.2011	FH Hörsaal 3 - MATH	GRILL
Tue	10:00 - 12:00	08.03.2011 - 30.06.2011	Sem.R. DA grün 05	stoch. proc.

Show single appointments

Theory of stocahstic processes - Single appointments

Day	Date	Time	Location	Description
Tue	01.03.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	08.03.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	15.03.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	15.03.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	22.03.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	22.03.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	29.03.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	29.03.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	05.04.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	05.04.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	12.04.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	12.04.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	19.04.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	26.04.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	03.05.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	03.05.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	10.05.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	10.05.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.
Tue	17.05.2011	08:00 - 09:00	FH Hörsaal 3 - MATH	GRILL
Tue	17.05.2011	10:00 - 12:00	Sem.R. DA grün 05	stoch. proc.

Examination modalities

written and oral examination

Course registration

Begin	End	Deregistration end
28.02.2011 00:00	31.03.2011 00:00

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 400 Mathematics	Mandatory
066 401 Statistics	Mandatory
066 453 Biomedical Engineering	Mandatory elective
867 Statistics	Mandatory
873 Finance and Actuarial Mathematics	Mandatory

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

Go to Course Materials

Previous knowledge

Measure and probability theory

Language

German