News
Registration for tutorialsWritten on 15.10.26 by Henryk Zähle As there are significantly more registrations than students attending the lecture in person during the first week, we need your help to organise the tutorials. Therefore, we would like to ask students who plan to participate in the tutorials and take the oral exam at the end of the semester to… Read more As there are significantly more registrations than students attending the lecture in person during the first week, we need your help to organise the tutorials. Therefore, we would like to ask students who plan to participate in the tutorials and take the oral exam at the end of the semester to re-register for the tutorials in the CMS. It is important that you only register if you intend to submit solutions to the assignments. Thank you. |
Contents
- Conditioning on σ-algebras (conditional expectations, conditional distributions)
- Basic concepts of stochastic processes
- Kolmogorov’s extension theorem
- Poisson processes
- Gaussian processes
- Brownian motion
- Markov processes
- Martingales
Recommended prerequisites
A solid background in mathematics and a good knowledge of measure-theoretic probability theory at the level of Stochastics I.
Lectures
- Tuesday, 10:15-11:45 am, in SR 6 (room 2.17) in building E2 4
- Thursday, 8:30-10:0 am, in SR 6 (room 2.17) in building E2 4
The course materials can be accessed here.
Tutorial
- Tuesday, 8:30-10:00, in SR 6 (room 2.17) in building E2 4
The first tutorial will take place at 3 November.
Exam
The oral examination will take place after the lecture period. To be eligible to take the examination, students must earn at least 50% of the total points available on the assignment sheets.
Organisation
Dr. Felix Sachse, sachse@math.uni-sb.de