15WS Stochastische Prozesse


Welcome! Here you find information and material for my course Stochastic Processes during the winter term 2015/2016.

The download material is password protected. I will provide the login details in the lecture.

The complete version of the lecture notes is available below.

General Information

In this course we investigate Stochastic Processes in general, as well as Brownian motion, martingales, and Markov processes in particular. There are two lectures per week on

    • Tuesday at 12.15 in HS9

    • Thursday at 12.15 in HS9

and an associated tutorial on

    • Wednesday at 12.15 in E52.

As a prerequisite, you are expected to be familiar with

(a) Measure and Integration (e.g., as in the BSc course Maß- und Integrationstheorie).

(b) Probability Theory (e.g., as in the BSc course Wahrscheinlichkeitstheorie).

Within the Stochastic Processes and Mathematical Finance curriculum, this is the first advanced course and basic for all further lectures, seminars, etc. in this area. In particular, the lecture Stochastic Analysis and Mathematical Finance, offered in the summer term 2016, will build upon this lecture.

Course Material

The complete version of the lectures notes is available here.

For background on probability theory, please check the lecture notes for my course on Probability Theory. These are available here.

To brush up on your knowledge of measure and integration, you may wish to consult my lecture notes Maß und Integration. You can download them here.

The illustrations below have been shown in the lecture. Download the Matlab code, and run and tweak the simulations yourself!

Tutorials and Exercise Groups

We offer a tutorial to discuss applications as well as any questions that you might have. The tutorial will be held by Dr. Christoph Belak and takes place on

  • Wednesday at 12.15 in E52.

You are also expected to hand in solutions to exercises. Exercise sheets will generally be uploaded before Monday in any given week and be due on Friday of that week. Solutions will be discussed on the following Monday in the exercise groups. Dr. Belak is also responsible for the exercise groups. These will take place

  • Monday at 18.00 in E51.

Exercise sheets and other relevant material will be made available through Stud.IP.

To qualify for the final exam, you are required to attain 50% of the points, and to be able to demonstrate in the exercise groups that you have fully understood the solutions that your group has handed in. You can submit in groups of 2-3 persons.


There will be oral exams on

  • February 25, February 26

  • April 7, April 8.

Please register in Ms. Karpa's office (E113).