Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dipl.-Math. Stefan Roth

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Time and Place

Lecture
Tuesday, 8:00 - 10:00 am, lecture room H12
Thursday, 10:00 - 12:00 am, lecture room H8

Exercise Session
Wednesday, 4:00 - 6:00 pm, lecture room H14

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Type

4 hours lecture + 2 hours exercise

Credit points: 9

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Prerequisites

Elementary Probability Calculus and Statistics, Stochastics I

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Intended audience

Compulsory module:

Master of Mathematical Economics

Elective module:

Bachelor of Mathematics, Mathematical Biometrics, Mathematical Economics;
Master of Mathematics

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Content

The course Stochastics I gives an introduction to different classes of stochastic processes. Key aspects are:

• Counting processes and renewal processes; Poisson point process
• Wiener process
• Martingales
• Lévy processes
• Stationary processes in discrete time

We shall discuss analytic, geometric and asymptotic properties of stochastic models to provide the students with knowledge of statistical methods and simulation algorithms.

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Requirements

50% of all homework credits and the final exam. For qualifying the obtained exercise points a registration with SLC is required.

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Final Exam

The first exam occurs on 19th of February 2016.

There will be a second exam on 1st of April, 2016.

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Lecture notes

The lecture notes for stochastics II are currently under revision. The already updated chapters can be found here.

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Exercise sheets

Exercise sheet 1, due to 21st of October 2015

Exercise sheet 2, due to 28th of October 2015

Exercise sheet 3, due to 4th of November 2015

Exercise sheet 4, due to 11th of November 2015

Exercise sheet 5, due to 18th of November 2015

Exercise sheet 6, due to 25th of November 2015

Exercise sheet 7, due to 2nd of December 2015, 

Exercise sheet 8, due to 9th of December 2015

Exercise sheet 9, due to 16th of December 2015

Exercise sheet 10, due to 13th of January 2016

Exercise sheet 11, due to 13th of January 2016

Exercise sheet 12, due to 20th of January 2016

Exercise sheet 13, due to 27th of January 2016

Exercise sheet 14, due to 3rd of February 2016

Exercise sheet 15, due to 10th of February 2016

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Literature

A bibliography can be found here.