News
Lecture on 20 December will be held online and in a shortend formWritten on 19.12.24 by Henryk Zähle The lecture on Friday 20 December will be held online via Zoom and will only start at 9:15am. I have just sent the link to the meeting by email. If you did not receive it, please let me know by email (zaehle at math uni-sb de). |
Tomorrow's lecture will be held onlineWritten on 16.12.24 by Henryk Zähle Unfortunately, due to health problems, I am still unable to give a talk on-site. Tomorrow's lecture (Tuesday 17 December) will therefore be held online via MS Teams. Please excuse the inconvenience. Here is the link: Unfortunately, due to health problems, I am still unable to give a talk on-site. Tomorrow's lecture (Tuesday 17 December) will therefore be held online via MS Teams. Please excuse the inconvenience. Here is the link: If you have any problems logging in, please email me. |
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Written on 12.12.24 by Henryk Zähle Unfortunately, due to health problems, I will not be able to give the lecture on Friday 13 December. I apologise for this. I would like to ask you to work through slides 559-565 (i.e. up to Remark 26.2.5) and the corresponding proofs on your own. There will be only two exercises on Exercise… Read more Unfortunately, due to health problems, I will not be able to give the lecture on Friday 13 December. I apologise for this. I would like to ask you to work through slides 559-565 (i.e. up to Remark 26.2.5) and the corresponding proofs on your own. There will be only two exercises on Exercise Sheet 8, the second of which requires the theory introduced on slides 559-565. Therefore, the points for this exercise (i.e. Exercise 23) are bonus points. |
Office hour today (12 December) from 10.15 to 11.00 amWritten on 12.12.24 by Susanna Fromm Dear students, today's office hour will exceptionally start at 10.15 am. Kind regards, Susanna Fromm |
Lecture on 19 November cancelledWritten on 15.11.24 by Henryk Zähle Unfortunately, the lecture on Tuesday 19 November has to be cancelled. The next lecture will be held on Friday 22 November. |
Typo in Exercise 7Written on 13.11.24 by Susanna Fromm Dear students, unfortunately, there was a typo in the definition of \phi_k(z) in Exercise 7. A new version is online now. I apologise for the inconvenience. Best regard, Susanna Fromm |
Office hour today cancelledWritten on 07.11.24 by Susanna Fromm Dear students, unfortunately, I have to cancel the office hour today due to illness. Kind regards, Susanna Fromm |
Lecturer: Prof. Dr. Henryk Zähle.
Assistent: Susanna Fromm, MSc.
Please contact Susanna Fromm (fromm[at]math.uni-sb.de) if you have any questions about this course.
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
Stochastics I, and basic lectures in analysis and linear algebra (e.g. Analysis I-III, Linear Algebra I-II).
This course is intended for students of Mathematics or Actuarial and Financial Mathematics or Mathematics & Computer Science.
Participation in the course requires a basic education in mathematics and a sound knowledge in measure-theoretic probability theory (as taught in the course Stochastics I).
Language
The course will be held in English unless all participants speak German.
Lectures
Tuesday, 10:15-11.45 am, in SR 6 (room 2.17) in building E2 4
Friday, 8:30-10:00 am, in SR 6 (room 2.17) in building E2 4
Course materials are available here.
Tutorial
Wednesdays, 8:30-10:00 am, in SR 9 (room 3.19) in building E2 4.
The first tutorial will take place at 06 November.
Assignments
There will be weekly assignments, which will be uploaded on Fridays. They are available here.
Submission via CMS one week later (by Friday, 8:30 am).
The solutions will be discussed in the tutorials.
Exam
At the end of the term, there will be an oral exam.
To be admitted to the exam, you must achieve at least 50% of the total score of the assignments.