Stochastic Processes (Summer Semester 2007)
- Lecturer: Prof. Dr. Nicole Bäuerle
- Classes: Lecture (1594), Problem class (1595)
- Weekly hours: 4+2
- Audience: Mathematik (Diplom), Wirtschaftsmathematik, Technomathematik (from 6. semester)
|Lecture:||Monday 8:00-9:30||Seminarraum 31||Begin: 16.4.2007|
|Wednesday 9:45-11:15||Seminarraum 34|
|Problem class:||Monday 14:00-15:30||Seminarraum 31|
|Lecturer||Prof. Dr. Nicole Bäuerle|
|Office hours: by appointment.|
|Room 2.016 Kollegiengebäude Mathematik (20.30)|
|Email: firstname.lastname@example.org||Problem classes||André Mundt|
|Room Kollegiengebäude Mathematik (20.30)|
In the first part of the course we consider so-called Markov chains in discrete and continuous time. These specific stochastic processes are frequently used for modeling random systems in several fields such as telecommunication, production planning, biology or physics. The course aims to deduce convergence theorems that describe the long-run behaviour of the processes.
The second part will thoroughly deal with Brownian motion, especially with its existence, path behaviour and the Markov property. Excursions to the theory of stochastic integration and semi-martingales complete this part.
Exercise sheets and some recommended literature (in german) can be found on the german version of this page.