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 H12
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.
A total of 136 training points are sufficient. One has to register for the achievement in the university portal. A corresponding note is then entered. As soon as this entry has been made, you can register for the exam.
Unfortunately, due to the provisions of the study secretariat, oral examination is not possible, only as an written exam.
The first exam occurs on 27th of February 2017, 10-12 am, H14.
There will be a second exam on 7th of April, 2017, , 10-12 am, H15.
Please register until 4 days before the exam in the university portal. The exam is open. This means that it is possible to register for the second exam without having written the first one. The inspection of the exam will take place on 02.03.2017 at 10 o'clock in room 120 in the Helmholtzstr. 18. The inspection of the 2nd exam will take place on 12.04.2017 at 14:30 in room E60 in the Helmholtzstr. 18.
Overview of grades (1st exam)
42 - 45 Points 1,0
40 - 41 Points 1,3
38 - 39 Points 1,7
36 - 37 Points 2,0
34 - 35 Points 2,3
32 - 33 Points 2,7
30 - 31 Points 3,0
28 - 29 Points 3,3
26 - 27 Points 3,7
22.5 - 25 Points 4,0
< 22.5 Points 5,0
The lecture notes for stochastics II are currently under revision. The already updated chapters can be found here.
- Exercise sheet 1, till 26.10.2016
- Exercise sheet 2, till 02.11.2016
- Exercise sheet 3, till 09.11.2016
- Exercise sheet 4, till 16.11.2016
- Exercise sheet 5, till 23.11.2016
- Exercise sheet 6, till 30.11.2016
- Exercise sheet 7, till 07.12.2016
- Exercise sheet 8, till 14.12.2016
- Exercise sheet 9, till 21.12.2016
- Exercise sheet 10, till 11.01.2017
- Exercise sheet 11(rev), till 18.01.2017
- Exercise sheet 12, till 01.02.2017
- Exercise sheet 13, till 08.02.2017
- Exercise sheet 14, till 14.02.2017
- Exercise sheet 15 (rev), till 15.02.2017
Click here for the semester program.
- Addtitional Lecture is on Monday, 13.02.2017 at 14:15, He18-E60
- Lectures start on 18.10.2016
- Exercise sessions start on 26.10.2016
- The 12th Exercise sessions is on Wednesday, 01.02.2017
- The 13th Exercise sessions is on Wednesday, 08.02.2017
- The 14th Exercise sessions is on Tuesday at 08:15, 14.02.2017
- The 15th Exercise sessions is on Wednesday, 15.02.2017