Analysis of Time Series in Continuous Time

Registration:

To register for the seminar, please write an email to Dirk Brandes. The registration period ended but, given enough open places, you can still write an email to join the seminar until the 1st of October.

Please give your name, matriculation number, and your courses of studies and subjects you have taken in the area of Financial Mathematics, Probability Theory or Stochastic Processes. 

The number of participants is limited to 15 students.

Weekly, tba.

First Meeting:

Wednesday, 2nd August 2017, 13:00 - 14:00, He18 - 2.20.

Prerequisites:

Master students:

• Required: Measure Theory, Elementary Probability and Statistics, Stochastik I.
• Helpful: Time Series Analysis.

Master in Finance:

• Required: An Introduction to Measure Theoretic Probability, Financial Mathematics I.
• Helpful: Financial Mathematics II, Time Series Analysis.

Contents:

The seminar can cover the following topics:

• Foundation of Time Series Analysis
• Hilbert Space Theory
• Orthogonal Increment Processes
• Spectral Theory
• Mean Square Linear Prediction
• Functions of Finite Variation
• Lebesgue Stieltjes Integration
• ODE by Functions of Finite Variation
• Lévy Processes and Integration Theory w.r.t. Lévy Processes
• Multivariate Ornstein Uhlenbeck Processes
• CARMA Processes

Literature:

• P. J. Brockwell, A. M. Lindner, Analysis of Time Series with Continuous Parameter, Springer, to appear.

Material:

Announcement

Rules