Institute of Stochastics

Stochastics II

Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dipl.-Math. Stefan Roth

Time and Place

Lecture
Tuesday, 10:00 - 12:00 am, lecture room H14

Thursday, 10:00 - 12:00 am, lecture room H14

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

Type

4 hours lecture + 2 hours exercise

Credit points: 9

Prerequisites

Elementary Probability Calculus and Statistics, Stochastics I

Intended audience

Compulsory module:

Master of Mathematical Economics

Elective module:

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

Content

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

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

We shall discuss analytical, geometrical and asymptotical 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.

Final Exam

The first exam occurs on 20th of February 2013, 10:00-12:00 am.

Further Informations:

  • The exam occurs in H4/5.
  • permitted tools: none.
  • Duration: 2 hours
Table of gradesPointsGrade
20,0-21,04,0
21,5-22,53,7
23,0-24,03,3
24,5-25,53,0
26,0-27,02,7
27,5-28,52,3
29,0-31,02,0
31,5-33,51,7
34,0-36,01,3
>36,01,0

The inspection of the exam will take place on monday 25th of february 2013, room 120, He 18, 2:00 pm.

 

There will be a second exam on 9th of April, 2012, 12:00-2:00 pm.

Lecture notes

We provide lecture notes for Stochastics II.

Exercise sheets

 Exercise sheet No. 1 (Due to: October 24th, 2012)

 Exercise sheet No. 2 (Due to: October 31st, 2012)

 Exercise sheet No. 3 (Due to: November 7th, 2012)

 Exercise sheet No. 4 (Due to: November 14th, 2012)

 Exercise sheet No. 5 (Due to: November 21st, 2012)

 Exercise sheet No. 6 (Due to: November 28th, 2012)

 Exercise sheet No. 7 (Due to: December 5th, 2012)

 Exercise sheet No. 8 (Due to: December 12th, 2012)

 Exercise sheet No. 9 (Due to: December 19th, 2012)

 Exercise sheet No. 10 (Due to: January 9th, 2013)

 Exercise sheet No. 11 (Due to: January 16th, 2013)

 Exercise sheet No. 12 (Due to: January 23rd, 2013)

 Exercise sheet No. 13 (Due to: January 30th, 2013)

 Exercise sheet No. 14 (Due to: February 6th, 2013)

 Exercise sheet No. 15 (Due to: February 13th, 2013)

Literature

A bibliography can be found here.

Lecturer

News

Contact

  • Office hours: Tuesday 4 - 5 pm
  • Phone: +49 (0)731/50-23530
  • Homepage

Teaching Assistant

  • Office hours on appointment
  • Phone: +49 (0)731/50-23529
  • Homepage