|Lecturer||Prof. Dr. Ulrich Stadtmüller|
|Class Teacher||Monika Thalmaier|
|Type of Lecture ||4h Lecture, 2 h Class (4+2)|
|Venue and Time||Lecture:|
- Tuesday, 10-12 in H7
- Thursday, 8-10 in H7
- Conditional Expectation and conditional probability
- Time-discrete Martingals
- Stopping Times
- Optional Sampling Theorems
- Stochastic Inequalities
- Doobs Martingale Theorem
- Uniform Integrability of Martingals
- Strong Law of Large Numbers
- Large Deviations
- Stochastic Processes
- Classes of Stochastic Processes
- Poisson Processes
- Wiener Processes
- First Lecture: Tuesday, 17.04.2007.
- If you do not have an SLC login, please set up a SLC-Account as soon as possible.
- Exercise sheets are due Wednesday before class.
- Criteria for an "Übungsschein": 50% of all homework credits.
- The solutions for the homeworks are now in the copier room in Helmholtzstr.18.
- The "Übungsscheine" can be picked up at the office of Monika Thalmaier (He.18, 206) .
- The lecture as well as the class will be in German.
- Bauer, Wahrscheinlichkeitstheorie, de Gruyter
- Billingsley, Probability and Measure, Wiley
- Gänssler, Stute, Wahrscheinlichkeitstheorie, Springer
- Gut, Probability: A graduate Course, Springer
- Shiryaev, Probability
- Williams, Probability with martingales, CUP
- Williams, Weighing the odds, CUP