Fundamental knowledge of the theory of stochastic processes
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
The exact time of this lecture and the corresponding exercises will be fixed on Tue March 6th Sem 107/1
written and oral examination
Measure and probability theory