News
Room changeWritten on 10.11.26 by Henryk Zähle Due to construction work in seminar room 6, today's lecture will take place in seminar room 2, which is located in the basement of building E2 5. |
Contents
- Conditioning on σ-algebras (conditional expectations, conditional distributions)
- Basic concepts of stochastic processes
- Kolmogorov’s extension theorem
- Poisson processes
- Gaussian processes
- Brownian motion
- Markov processes
- Martingales
Recommended prerequisites
A solid background in mathematics and a good knowledge of measure-theoretic probability theory at the level of Stochastics I.
Lectures
- Tuesday, 10:15-11:45 am, in SR 6 (room 2.17) in building E2 4
- Thursday, 8:30-10:0 am, in SR 6 (room 2.17) in building E2 4
The course materials can be accessed here.
Tutorial
- Tuesday, 8:30-10:00, in SR 6 (room 2.17) in building E2 4
The first tutorial will take place at 3 November.
Assignments
There will be weekly assignments, which will be uploaded on Tuesdays. They are available here.
The submission deadline is the following Tuesday at 9:59 am, via CMS.
Teams of two can be formed to submit solutions. The solutions will be discussed in the tutorials.
Exam
The oral examination will take place after the lecture period. To be eligible to take the examination, students must earn at least 50% of the total points available on the assignment sheets.
Organisation
Dr. Felix Sachse, sachse@math.uni-sb.de