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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

There will be a weekly tutorial (2 hours). Time and venue to be announced in the first week of the semester.

 

References

 

Organization

Dr Thuan Nguyen 
nguyen@math.uni-sb.de

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