19212511 Seminar

WiSe 16/17: Seminar zur Stochastik

Felix Höfling

Additional information / Pre-requisites

First meeting, 19 October 14:00, R. 108/109, 1st floor, Arnimallee 6. Further seminar dates to be discussed at first meeting

Requirements: Stochastics I, Analysis I-II

close

Comments

p>Selected topics on stochastic processes with applications in natural sciences and finance.

Possible subjects for seminar talks are:

  • Lévy processes
  • Linear filtering problem
  • Feynman-Kac formula
  • Random time change
  • Girsanov theorem
  •  
  • Bayesian inference
  • Stochastic enzyme kinetics
  • Random resistor networks
  • Boltzmann's H-theorem
  • Zwanzig-Mori projection formalism
  • Fluctuation theorems
  •  
  • Geometric Brownian motion
  • Stochastic control
  • Optimal stopping
  • Black-Scholes formula
close

Suggested reading

Literaturliste wird zu Beginn der Veranstaltung bekanntgegeben.

Subjects A - Z