Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin

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Time and Place

Christmas break: 26.12.2017-5.01.2018

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 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

Elective module:

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

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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.

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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.

 

Final Exam

There is an oral exam. The first exams will take place on March 12th and 13th.

The second exam will take place on April 6th.

Appointment: from 09:30 to 12:30 in the secretariat of the institute (He18, room no. 164). You have to come personally to get your registration signed. For the appointment is needed that you have previously registered in the university portal.

 

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Lecture notes

The lecture notes for stochastics II can be found here.

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Exercise sheets

• Exercise sheet 1 (till October 25, 2017)
• Exercise sheet 2 (till November 8, 2017), R code
• Exercise sheet 3 (till November 15, 2017)
• Exercise sheet 4 (till November 22, 2017)
• Exercise sheet 5 (till November 29, 2017)
• Exercise sheet 6 (till December 6, 2017)
• Exercise sheet 7 (till December 13, 2017)
• Exercise sheet 8 (till December 20, 2017)
• Exercise sheet 9 (till January 10, 2018)
• Exercise sheet 10 (till January 17, 2018)
• Exercise sheet 11 (till January 24, 2018)
• Exercise sheet 12 (till January 31, 2018)
• Exercise sheet 13 (till February 7, 2018)
• Exercise sheet 14 (till February 14, 2018)

 

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Literature

Click here for the semester program.