Probability Theory

Lecture Probability Theory

 


LecturerProf. Dr. Ulrich Stadtmüller

Class Teacher
Monika Thalmaier




Type of Lecture 4h Lecture, 2 h Class (4+2)




Venue and Time
Lecture:


  • Tuesday, 10-12 in H7
  • Thursday, 8-10 in H7


Class:


  • Wednesday, 8-10 in H7




Content
  • Conditional Expectation and conditional probability
  • Time-discrete Martingals
    • Essentials
    • Stopping Times
    • Optional Sampling Theorems
    • Stochastic Inequalities
    • Doobs Martingale Theorem
    • Uniform Integrability of Martingals
    • Strong Law of Large Numbers
    • Large Deviations
    • Applications
  • Stochastic Processes
    • Basics
    • Classes of Stochastic Processes
    • Poisson Processes
    • Wiener Processes




Information
 
  • First Lecture: Tuesday, 17.04.2007.
  • If you do not have an SLC login, please set up a SLC-Account as soon as possible.
  • Exercise sheets are due Wednesday before class.
  • Criteria for an "Übungsschein": 50% of all homework credits.
  • The solutions for the homeworks are now in the copier room in Helmholtzstr.18.
  • The "Übungsscheine" can be picked up at the office of  Monika Thalmaier (He.18, 206) .
  • The lecture as well as the class will be in German.
 




Excersise Sheets




Literature
 
  • Bauer, Wahrscheinlichkeitstheorie, de Gruyter
  • Billingsley, Probability and Measure, Wiley
  • Gänssler, Stute, Wahrscheinlichkeitstheorie, Springer
  • Gut, Probability: A graduate Course, Springer
  • Shiryaev, Probability
  • Williams, Probability with martingales, CUP
  • Williams, Weighing the odds, CUP
 

Contact

Lecturer
Prof. Dr. Ulrich Stadtmüller
Office Hours: By Appointment
Phone: +49 (0)731/ 50-23512
Ulrich Stadtmüller

 

Class Teacher
Monika Thalmaier
Office Hours: By Appointment
Phone: +49 (0)731/ 50-23514
Monika Thalmaier