Stochastics II


Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin

Time and Place

Christmas break: 22.12.2018-6.01.2019


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


4 hours lecture + 2 hours exercise

Credit points: 9


Elementary Probability Calculus and Statistics, Stochastics I

Intended audience

Elective module:

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
  • 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.


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

Final Exam

There is an oral exam. The first exams will take place on February 28th and March 4th.

The second exam will take place on April 4th. 

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 

  The exercise sheets and scores will be published on Moodle.


Click here for the semester program.




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


Teaching Assistant


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



  • Lectures start on 16.10.2018 
  • Exercise sessions start on 24.10.2018