Prof. Dr. Evgeny Spodarev
Dr. Vitalii Makogin
Time and Place
Christmas break: 22.12.2019-6.01.2020
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 H14
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 Moodle is required.
There is an oral exam. The first exams will take place on February 17th and March 11th.
The second exam will take place on April 3rd.
The lecture notes for Stochastics II can be found here (new).
The exercise sheets and scores will be published on Moodle.
Click here for the semester program.
A bibliography can be found here.
- Change of the room: Thursday, 28.11., 10-12 a.m, H8 (N25)
- Change of the room: Tuesday, 26.11., 8-10 a.m, H11 (N24)
- Lectures start on 15.10.2019
- Exercise sessions start on 23.10.2019