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

Institute

Course dates

DayTimeDateLocationDescription
Tue11:00 - 11:2005.03.2019Sem.R. DA grün 06A Vorbesprechung - Vorlesungstermine werden in der Vorbesprechung mit Studierenden besprochen
Tue11:00 - 13:0012.03.2019 - 25.06.2019Sem.R. DA grün 06A .
Wed12:00 - 13:0013.03.2019 - 26.06.2019Sem.R. DA grün 06A .
Theory of stocahstic processes - Single appointments
DayDateTimeLocationDescription
Tue05.03.201911:00 - 11:20Sem.R. DA grün 06A Vorbesprechung - Vorlesungstermine werden in der Vorbesprechung mit Studierenden besprochen
Tue12.03.201911:00 - 13:00Sem.R. DA grün 06A .
Wed13.03.201912:00 - 13:00Sem.R. DA grün 06A .
Tue19.03.201911:00 - 13:00Sem.R. DA grün 06A .
Wed20.03.201912:00 - 13:00Sem.R. DA grün 06A .
Tue26.03.201911:00 - 13:00Sem.R. DA grün 06A .
Wed27.03.201912:00 - 13:00Sem.R. DA grün 06A .
Tue02.04.201911:00 - 13:00Sem.R. DA grün 06A .
Wed03.04.201912:00 - 13:00Sem.R. DA grün 06A .
Tue09.04.201911:00 - 13:00Sem.R. DA grün 06A .
Wed10.04.201912:00 - 13:00Sem.R. DA grün 06A .
Tue30.04.201911:00 - 13:00Sem.R. DA grün 06A .
Tue07.05.201911:00 - 13:00Sem.R. DA grün 06A .
Wed08.05.201912:00 - 13:00Sem.R. DA grün 06A .
Tue14.05.201911:00 - 13:00Sem.R. DA grün 06A .
Wed15.05.201912:00 - 13:00Sem.R. DA grün 06A .
Tue21.05.201911:00 - 13:00Sem.R. DA grün 06A .
Wed22.05.201912:00 - 13:00Sem.R. DA grün 06A .
Tue28.05.201911:00 - 13:00Sem.R. DA grün 06A .
Wed29.05.201912:00 - 13:00Sem.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

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