Stochastics II

Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin

Time and Place

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

Exercise Session
Wednesday, 4:00 - 6:00 pm, lecture room H12

Type

4 hours lecture + 2 hours exercise

Credit points: 9

Prerequisites

Elementary Probability Calculus and Statistics, Stochastics I

Intended audience

Elective module:

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

Content

The course Stochastics II 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.

Requirements

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

A total of 136 training points are sufficient. One has to register for the achievement in the university portal. A corresponding note is then entered. As soon as this entry has been made, you can register for the exam.

Final Exam

Unfortunately, due to the provisions of the study secretariat, oral examination is not possible, only as an written exam.

The first exam occurs on 27th of February 2017, 10-12 am, H14.

There will be a second exam on 7th of April, 2017, , 10-12 am, H15.

Please register until 4 days before the exam in the university portal. The exam is open. This means that it is possible to register for the second exam without having written the first one. The inspection of the exam will take place on 02.03.2017 at 10 o'clock in room 120 in the Helmholtzstr. 18. The inspection of the 2nd exam will take place on 12.04.2017 at 14:30 in room E60 in the Helmholtzstr. 18.

Overview of grades (1st exam)

42 - 45 Points 1,0
40 - 41 Points 1,3
38 - 39 Points 1,7
36 - 37 Points 2,0
34 - 35 Points 2,3
32 - 33 Points 2,7
30 - 31 Points 3,0
28 - 29 Points 3,3
26 - 27 Points 3,7
22.5 - 25 Points 4,0
< 22.5 Points 5,0