Prof. Dr. Evgeny Spodarev
Dipl.-Math. Stefan Roth
Time and Place
Tuesday, 8:00 - 10:00 am, lecture room H12
Thursday, 10:00 - 12:00 am, lecture room H8
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 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 first exam occurs on 19th of February 2016.
There will be a second exam on 1st of April, 2016.
The lecture notes for stochastics II are currently under revision. The already updated chapters can be found here.
Exercise sheet 1, due to 21st of October 2015
Exercise sheet 2, due to 28th of October 2015
Exercise sheet 3, due to 4th of November 2015
Exercise sheet 4, due to 11th of November 2015
Exercise sheet 5, due to 18th of November 2015
Exercise sheet 6, due to 25th of November 2015
Exercise sheet 7, due to 2nd of December 2015,
Exercise sheet 8, due to 9th of December 2015
Exercise sheet 9, due to 16th of December 2015
Exercise sheet 10, due to 13th of January 2016
Exercise sheet 11, due to 13th of January 2016
Exercise sheet 12, due to 20th of January 2016
Exercise sheet 13, due to 27th of January 2016
Exercise sheet 14, due to 3rd of February 2016
Exercise sheet 15, due to 10th of February 2016
A bibliography can be found here.
- To participate at the oral exam 160 points from all exercise sheets are required
- There are additional lectures at: Friday 5th of February: 4-6, Heho 18, room 120, Wednesday 10th of February: 10-12, Heho 22, room 2.02 and Friday 12th of February: 2-4, H9
- Please register for the oral exam on Friday, 19th of February 2016 as soon as possible.