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
closeComments
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
Suggested reading
Literaturliste wird zu Beginn der Veranstaltung bekanntgegeben.