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Vorlesung: Stochastische Prozesse

— abgelegt unter:

T. Schmidt, Vorlesung, Di 16-18Uhr, SR 404 und Mi 14-16 Uhr, SR 404

Prof. Dr. T. Schmidt / T. Fadina
Tue, Wed 16-18 and 14-16 clock, SR 404
exercises to: 2-hour by appointment 9 ECTS suitable for the master's degree program ("Category III")

 

To lecture


. The lecture is the first event in the Master of Science Mathematics, major field of study probability theory, financial mathematics and statistics She connects directly to the lecture probability theory from the Winter Term 2014/15. Main topics are: Brownian motion and the Poisson process, Markov processes, semi martingales and if we get that far, Stochastic integration with a strong link to Financial Mathematics, The lecture Stochastic integration and financial mathematics in the summer semester will be based heavily on synthesis results.

 

Literature

  • O. Kallenberg. Foundations of Modern Probability (Probability and Its Applications). Springer 2002
  • A. Klenke. Probability Theory. Springer 2006
  • D. Williams. Probability with Martingales (Cambridge Mathematical Textbooks). Cambridge University Press 1991

  

Studienleistung

The coursework is Regarded as Given IF

 

  • at least 60% reached the points of the exercises and
  • at least one pre-exercise Calculated in tutoring

HAS BEEN

 

Exercise groups

Accompanying the lecture, see Practice Sessions Took Place in Which clarified questions about the lecture and exercises will be discussed. The tutorial for the course "Stochastic Processes" will start in the first week, on  October 22, 2015 and will take place on a weekly basis on the Following dates:

Group Time room
Group 1  Thu 12-14 318
Group 2  Thu 14-16 119

  

Exercise sheets

The exercise sheets are set by the week for the lecture on Tuesday on this page and are a Week later on Tuesday in the lecture dispense. The exercises will be discussed by the discharge in the Subsequent exercise groups.

 

The exercise sheets as PDF files are updated Continuously:

 

Sheet output Delivery
Page 1  19-10-2015  22-10-2015
Sheet 2  22-10-2015  27-10-2015
Sheet 3  28-10-2015  03-11-2015
Sheet 4  03-11-2015  10-11-2015
Sheet 5 10-11-2015  17-11-2015
Sheet 6  17-11-2015  24-11-2015
Sheet 7  24-11-2015  01-12-2015
Sheet 8  01-12-2015 08-12-2015
Sheet 9  08-12-2015  15-12-2015
Journal 10  23-12-2015  12-01-2016

Journal 11 script

19-01-2016  26-01-2016
Journal 12  27-01-2016  02-02-2016
 Blatt 13 03-02-2016 09-02-2016

 

 

 

Consultation

The lecture and consultation for the exercise is Friday between 10-12 and between 13 - 15 if possible, please sign up in advance (room 241 Eckerstr 1, tolulope.fadina [at] stochastik.uni-freiburg.de,).

 

 

News / News

Here are news etc to lecture and exercises listed

 

 

Benutzerspezifische Werkzeuge