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
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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.
- 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
More precisely, the course will cover the following aspects of probability theory:
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
[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 - 12:00Final Exam
Tue, 2015-09-15 09:00 - 12:00
Make-up Exam
Regular appointments
Tue, 2015-04-14 08:00 - 10:00
Tue, 2015-04-21 08:00 - 10:00
Tue, 2015-04-28 08:00 - 10:00
Tue, 2015-05-05 08:00 - 10:00
Tue, 2015-05-12 08:00 - 10:00
Tue, 2015-05-19 08:00 - 10:00
Tue, 2015-05-26 08:00 - 10:00
Tue, 2015-06-02 08:00 - 10:00
Tue, 2015-06-09 08:00 - 10:00
Tue, 2015-06-16 08:00 - 10:00
Tue, 2015-06-23 08:00 - 10:00
Tue, 2015-06-30 08:00 - 10:00
Tue, 2015-07-07 08:00 - 10:00
Tue, 2015-07-14 08:00 - 10:00
Thu, 2015-04-16 08:00 - 10:00
Thu, 2015-04-23 08:00 - 10:00
Thu, 2015-04-30 08:00 - 10:00
Thu, 2015-05-07 08:00 - 10:00
Thu, 2015-05-21 08:00 - 10:00
Thu, 2015-05-28 08:00 - 10:00
Thu, 2015-06-04 08:00 - 10:00
Thu, 2015-06-11 08:00 - 10:00
Thu, 2015-06-18 08:00 - 10:00
Thu, 2015-06-25 08:00 - 10:00
Thu, 2015-07-02 08:00 - 10:00
Thu, 2015-07-09 08:00 - 10:00
Thu, 2015-07-16 08:00 - 10:00
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 ... read more