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Lecture on 19 November cancelled

Written 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 7

Written 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 cancelled

Written 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.

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.

Stochastics II