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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