Stochastics II

Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin


Time and Place

Christmas break: 26.12.2017-5.01.2018

Lecture

Tuesday, 8:00 - 10:00 am, lecture room H12
Thursday, 10:00 - 12:00 am, lecture room H12

Exercise Session
Wednesday, 4:00 - 6:00 pm, lecture room H14


Type

4 hours lecture + 2 hours exercise

Credit points: 9


Prerequisites

Elementary Probability Calculus and Statistics, Stochastics I


Intended audience

Elective module:

Bachelor of Mathematics, Mathematical Biometrics, Mathematical Economics;
Master of Mathematics, Mathematical Economics


Content

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
  • Martingales
  • 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.


Requirements

50% of all homework credits and the final exam. For qualifying the obtained exercise points a registration with SLC is required.

 

Final Exam

There is an oral exam. The first exams will take place on March 12th and 13th.

The second exam will take place on April 6th.

Appointment: from 09:30 to 12:30 in the secretariat of the institute (He18, room no. 164). You have to come personally to get your registration signed. For the appointment is needed that you have previously registered in the university portal.

 


Lecture notes

The lecture notes for stochastics II can be found here.


Exercise sheets

 


Literature

Click here for the semester program.

Contact

Lecturer

 

Office hours: Wednesday, 4 - 5 pm
Phone: +49 (0)731/50-23530

Homepage

Teaching Assistant

 

Office hours on appointment.
Phone: +49 (0)731/50-23527

Homepage

News

  • To participate at the oral exam 131 points from all exercise sheets are required.
  • Lectures start on 17.10.2017 
  • Exercise sessions start on 25.10.2017