19212901 Lecture

SoSe 15: Stochastik II

Juan Jose Rue Perna

Information for students

The course will be held in English.

Additional information / Pre-requisites

Requirements: previous courses in analysis and probability theory (Stochastics I) are necessary.

Comments

Inhalt


    This course is the sequel of the course of Stochastics I. The main objective is to go beyond the first principles in probability theory by introducing the general language of measure theory, and the application of this framework in a wide variety of probabilistic scenarios.
    More precisely, the course will cover the following aspects of probability theory:
  • Measure theory and the Lebesgue integral
  • Convergence of random variables and 0-1 laws
  • Generating functions: branching processes and characteristic functions
  • Markov chains
  • Introduction to martingales
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Suggested reading

The following books will be used as basic bibliography for the course:
[1] Bartle, R.: The Elements of Integration and Lebesgue Measure, 1995
[2] Grimmett, G. R. and Stirzaker, D. R. Probability and Random Processes, 2001
[3] Meintrup, D., Schäffler, S.: Stochastik: Theorie und Anwendungen, 2005
[4] Varadhan, S.: Probability Theory, 2001
[5] Stroock, D.: An introduction to Markov Processes, 2005

The main reference for the first part of the course will be [1]. For the rest of the course, we will use [2] as a reference book. close

27 Class schedule

Additional appointments

Tue, 2015-07-21 09:00 - 12:00
Final Exam

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 032/A6 Seminarraum (Arnimallee 6)

Tue, 2015-09-15 09:00 - 12:00
Make-up Exam

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 032/A6 Seminarraum (Arnimallee 6)

Regular appointments

Tue, 2015-04-14 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-04-21 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-04-28 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-05-05 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-05-12 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-05-19 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-05-26 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-06-02 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-06-09 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-06-16 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-06-23 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-06-30 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-07-07 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Tue, 2015-07-14 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 007/008/A6 Seminarraum (Arnimallee 6)

Thu, 2015-04-16 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-04-23 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-04-30 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-05-07 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-05-21 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-05-28 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-06-04 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-06-11 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-06-18 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-06-25 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-07-02 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-07-09 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Thu, 2015-07-16 08:00 - 10:00

Lecturers:
Prof. Dr. Juan Jose Rue Perna

Location:
SR 025/026/A6 Seminarraum (Arnimallee 6)

Subjects A - Z