19212901
Lecture
SoSe 22: 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
Literature:
- 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
Thu, 2022-07-21 08:00 - 10:00Klausur
Location:
T9/Gr. Hörsaal (Takustr. 9)
Nachklausur
Regular appointments
Tue, 2022-04-19 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-04-26 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-05-03 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-05-10 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-05-17 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-05-24 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-05-31 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-06-07 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-06-14 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-06-21 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-06-28 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-07-05 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-07-12 10:00 - 12:00
Stochastik II (Serientermin 2)
Tue, 2022-07-19 10:00 - 12:00
Stochastik II (Serientermin 2)
Thu, 2022-04-21 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-04-28 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-05-05 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-05-12 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-05-19 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-06-02 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-06-09 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-06-16 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-06-23 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-06-30 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-07-07 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-07-14 08:00 - 10:00
Stochastik II (Serientermin 1)
Thu, 2022-07-21 08:00 - 10:00
Stochastik II (Serientermin 1)