19212901
Lecture
Stochastics II
Felix Höfling
Additional information / Pre-requisites
Prerequisite: Stochastics I and Analysis I — III.
Comments
Contents:
- Basics: conditional expectation, characteristic function, convergence types, uniform integrability;
- Construction of stochastic processes and examples: Gaussian processes, Lévy processes, Brownian motion;
- martingales in discrete time: convergence, stopping theorems, inequalities;
- Markov chains in discrete and continuous time: recurrence and transience, invariant measures.
Suggested 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.
32 Class schedule
Regular appointments
Tue, 2025-10-14 12:00 - 14:00
Tue, 2025-10-21 12:00 - 14:00
Tue, 2025-10-28 12:00 - 14:00
Tue, 2025-11-04 12:00 - 14:00
Tue, 2025-11-11 12:00 - 14:00
Tue, 2025-11-18 12:00 - 14:00
Tue, 2025-11-25 12:00 - 14:00
Tue, 2025-12-02 12:00 - 14:00
Tue, 2025-12-09 12:00 - 14:00
Tue, 2025-12-16 12:00 - 14:00
Tue, 2026-01-06 12:00 - 14:00
Tue, 2026-01-13 12:00 - 14:00
Tue, 2026-01-20 12:00 - 14:00
Tue, 2026-01-27 12:00 - 14:00
Tue, 2026-02-03 12:00 - 14:00
Tue, 2026-02-10 12:00 - 14:00
Thu, 2025-10-16 08:00 - 10:00
Thu, 2025-10-23 08:00 - 10:00
Thu, 2025-10-30 08:00 - 10:00
Thu, 2025-11-06 08:00 - 10:00
Thu, 2025-11-13 08:00 - 10:00
Thu, 2025-11-20 08:00 - 10:00
Thu, 2025-11-27 08:00 - 10:00
Thu, 2025-12-04 08:00 - 10:00
Thu, 2025-12-11 08:00 - 10:00
Thu, 2025-12-18 08:00 - 10:00
Thu, 2026-01-08 08:00 - 10:00
Thu, 2026-01-15 08:00 - 10:00
Thu, 2026-01-22 08:00 - 10:00
Thu, 2026-01-29 08:00 - 10:00
Thu, 2026-02-05 08:00 - 10:00
Thu, 2026-02-12 08:00 - 10:00