News
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Written on 12.01.24 by Christian Bender Tuesday, January 16: Tutorial at 8:30 (instead of the lecture) Wednesday, January 17: Lecture at 14:15 (online) |
Lecture on December 14 is canceledWritten on 12.12.23 (last change on 12.12.23) by Christian Bender The Lecture on December 14 is canceled. Please visit the Christmas Party organized by the Fachschaftsrat instead. |
Stochastics II
Prof. Dr. Christian Bender
Contents
This lecture course, a sequel to Stochastics I, introduces the theory of stochastic processes in both discrete and continuous time.
Topics include:
- Conditioning on σ-algebras
- Basic concepts of stochastic processes
- Kolmogorov’s extension theorem
- Poisson process
- Brownian motion
- Martingales
- Markov processes
Lectures
- Tuesdays, 8:30-10am, Hörsaal IV (building E2 4, room 115)
- Thursdays, 12:15-1:45pm, Hörsaal IV (building E2 4, room 115)
Tutorials
Wednesdays, 14:15-15:45, Seminarraum 1 (U.37). Starting date: 08/11/2023.
Assignment sheets and further information will be provided on the Information\Materials page on CMS.
References
- Karatzas & Shreve, Brownian Motion and Stochastic Calculus, Springer
- Mörters & Peres: Brownian Motion, Cambridge University Press
- Williams, Probability with Martingales, Cambridge University Press
Organization
Dr Thuan Nguyen
nguyen@math.uni-sb.de