Prof. Dr. Evgeny Spodarev
Dipl.-Math. Stefan Roth
Time and Place
Thursday, 10:00 - 12:00 am, lecture room H14
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
Master of Mathematical Economics
Bachelor of Mathematics, Mathematical Biometrics, Mathematical Economics;
Master of Mathematics
The course Stochastics I gives an introduction to different classes of stochastic processes. Key aspects are:
- Counting processes and renewal processes; Poisson point processes
- Wiener process
- Lévy processes
- Stationary processes in discrete time
We shall discuss analytical, geometrical and asymptotical 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 first exam occurs on 20th of February 2013, 10:00-12:00 am.
- The exam occurs in H4/5.
- permitted tools: none.
- Duration: 2 hours
The inspection of the exam will take place on monday 25th of february 2013, room 120, He 18, 2:00 pm.
There will be a second exam on 9th of April, 2012, 12:00-2:00 pm.
We provide lecture notes for Stochastics II.
Exercise sheet No. 1 (Due to: October 24th, 2012)
Exercise sheet No. 2 (Due to: October 31st, 2012)
Exercise sheet No. 3 (Due to: November 7th, 2012)
Exercise sheet No. 4 (Due to: November 14th, 2012)
Exercise sheet No. 5 (Due to: November 21st, 2012)
Exercise sheet No. 6 (Due to: November 28th, 2012)
Exercise sheet No. 7 (Due to: December 5th, 2012)
Exercise sheet No. 8 (Due to: December 12th, 2012)
Exercise sheet No. 9 (Due to: December 19th, 2012)
Exercise sheet No. 10 (Due to: January 9th, 2013)
Exercise sheet No. 11 (Due to: January 16th, 2013)
Exercise sheet No. 12 (Due to: January 23rd, 2013)
Exercise sheet No. 13 (Due to: January 30th, 2013)
Exercise sheet No. 14 (Due to: February 6th, 2013)
Exercise sheet No. 15 (Due to: February 13th, 2013)
A bibliography can be found here.
- Office hours: Tuesday 4 - 5 pm
- Phone: +49 (0)731/50-23530
- Office hours on appointment
- Phone: +49 (0)731/50-23529