NewsStochastic Processes during the winter term 2016/2017.Please register for the lecture, tutorials, and exercise groups in Porta.General InformationStochastic Processes in general, as well as Brownian motion, martingales, and Markov processes in particular. There are two lectures per week on**Tuesday**at**10.15**in P2
**Thursday**at**12.15**in HS9
and an associated tutorial on **Tuesday**at**12.15**in HS1.
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 curriculum (see here), this is the first advanced course and basic for all further lectures, seminars, etc. in this area. In particular, the lecture Stochastic Processes and Mathematical FinanceStochastic Analysis and Mathematical Finance, offered in the summer term 2017, will build upon this lecture.Course Material lecture notes, is password protected and available here. I will provide you with the login details in the lecture.For background on The illustrations below have been shown in the lecture. Download the Matlab code, and run and tweak the - Random Walk
- Renewal Process
- Natural Filtration
- Finite-Dimensional Distribution
- Hitting Time
- Stopped Process
- Poisson Random Measure
- Poisson Process
- Fractional Brownian Motion
- Ornstein-Uhlenbeck Process
- Langevin Process
- Lévy Construction of Brownian Motion
- Donsker's Functional Central Limit Theorem
- Martingale
- Law of the Iterated Logarithm
Tutorials and Exercise Groups For all information concerning tutorials and exercise groups, please consult this website. Examinations There will be oral exams on **March 6 and March 7**- and a re-examination on
**June 30.**
Please register in Porta, and register with Ms. Thieme-Trapp (E129) to get an appointment. |

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