19212901
Lecture
SoSe 20: Stochastics II
Nicolas Perkowski
Additional information / Pre-requisites
Prerequisite: Stochastics I and Analysis I — III
Comments
Contents:
- Construction of stochastic processes;
- conditional expectation;
- martingales in discrete time: convergence, stopping theorems, inequalities;
- convergence types in stochastics;
- uniform integrability;
- Markov chains in discrete and continuous time: recurrence and transience, invariant measures;
- convergence in distribution of stochatic processes;
- Brownian motion and invariance principle.
Detailed Information can be found on the Homepage of 19212901 Basismodul: Stochastics II.
closeSuggested reading
- Klenke: Wahrscheinlichkeitstheorie
- Durrett: Probability. Theory and Examples.
Weitere Literatur wird im Lauf der Vorlesung bekannt gegeben.
Further literature will be given during the lecture.
27 Class schedule
Additional appointments
Wed, 2020-07-29 14:00 - 16:00Klausur
Mon, 2020-10-19 10:00 - 12:00
Nachklausur
Regular appointments
Tue, 2020-04-14 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-04-21 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-04-28 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-05-05 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-05-12 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-05-19 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-05-26 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-06-02 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-06-09 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-06-16 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-06-23 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-06-30 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-07-07 12:00 - 14:00
Stochastik II (Serientermin 1)
Tue, 2020-07-14 12:00 - 14:00
Stochastik II (Serientermin 1)
Thu, 2020-04-16 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-04-23 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-04-30 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-05-07 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-05-14 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-05-28 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-06-04 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-06-11 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-06-18 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-06-25 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-07-02 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-07-09 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2020-07-16 08:00 - 10:00
Stochastik II (Serientermin 2)