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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 time slot for the tutorial is tentative. If you are unable to attend the tutorial at the scheduled time, please don't hesitate to let us know.
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.