Stochastics II

Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin

Time and Place

Christmas break: 22.12.2018-6.01.2019

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

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 Moodle is required.

Final Exam

There is an oral exam. The first exams will take place on February 28th and March 4th.

The second exam will take place on April 4th.

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.