19212901
Lecture
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
Thu, 2024-07-11 08:00 - 10:00Klausur
Location:
A3/Hs 001 Hörsaal (Arnimallee 3-5)
Nachklausur
Location:
A6/SR 031 Seminarraum (Arnimallee 6)
Regular appointments
Tue, 2024-04-16 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-04-23 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-04-30 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-05-07 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-05-14 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-05-21 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-05-28 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-06-04 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-06-11 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-06-18 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-06-25 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-07-02 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-07-09 10:00 - 12:00
Stochastik II (Serientermin 1)
Tue, 2024-07-16 10:00 - 12:00
Stochastik II (Serientermin 1)
Thu, 2024-04-18 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-04-25 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-05-02 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-05-16 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-05-23 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-05-30 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-06-06 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-06-13 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-06-20 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-06-27 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-07-04 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-07-11 08:00 - 10:00
Stochastik II (Serientermin 2)
Thu, 2024-07-18 08:00 - 10:00
Stochastik II (Serientermin 2)