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Instructors: Prof. Dr. rer. nat. Frank Aurzada
Event type:
Lecture & Exercise
Org-unit: Dept. 04 - Mathematics
Displayed in timetable as:
Stoch Processes I
Subject:
Crediting for:
Hours per week:
6
Language of instruction:
German and English
Min. | Max. participants:
- | -
Course Contents:
definition and existence of stochastic processes in continuous and discrete time
- Brownian motion: definition, existence and important properties
- general theory of Gaussian processes
- Ito integral
- stochastic differential equations
Literature:
Klenke: Wahrscheinlichkeitstheorie
Mörters and Peres: Brownian motion
Lifshits: Gaussian random functions
Karatsas and Shreve: Brownian motion and stochastic calculus
Preconditions:
recommended: Analysis, Linear Algebra, Probability Theory;
basic familiarity with functional analysis will be of great use.
Online Offerings:
moodle
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