Prof. Dr. Evgeny Spodarev
Dr. Vitalii Makogin
Time and Place
Tuesday, 8:00 - 10:00 am, lecture room H12
Thursday, 10:00 - 12:00 am, lecture room H12
Wednesday, 4:00 - 6:00 pm, lecture room H14
4 hours lecture + 2 hours exercise
Credit points: 9
Elementary Probability Calculus and Statistics, Stochastics I
Bachelor of Mathematics, Mathematical Biometrics, Mathematical Economics;
Master of Mathematics, Mathematical Economics
The course Stochastics II gives an introduction to different classes of stochastic processes. Key aspects are:
- Counting processes and renewal processes; Poisson point process
- Wiener process
- Lévy processes
- Stationary processes in discrete time
We shall discuss analytic, geometric and asymptotic properties of stochastic models to provide the students with knowledge of statistical methods and simulation algorithms.
50% of all homework credits and the final exam. For qualifying the obtained exercise points a registration with SLC is required.
The lecture notes for stochastics II can be found here.
- Exercise sheet 1 (till October 25, 2017)
Click here for the semester program.