Lecturer

Prof. Dr. Evgeny Spodarev

Teaching Assistant

Dr. Vitalii Makogin

Time and Place

Christmas break: 22.12.2019-6.01.2020

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 17th and March 11th.

The second exam will take place on April 3rd. 

Lecture notes

The lecture notes for Stochastics II can be found here (new).

Exercise sheets 

• Exercise sheet 1

  The exercise sheets and scores will be published on Moodle.

Literature

Click here for the semester program.

A bibliography can be found here.