Registration for this course is open until Wednesday, 21.10.2026 23:59.
News
Currently, no news are available
Contents
This course follows on from Stochastics I and covers the following topics:
- 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 SR6 (room 2.17) in building E2 4
- Thursday, 8:30-10:0 am, in SR6 (room 2.17) in building E2 4
The course materials can be accessed here.
Tutorial
- Tuesday, 8:30-10:00, in SR6 (room 2.17) in building E2 4
The first tutorial will take place at 27 October.
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