The lecture adresses classical concepts from probability theory, filling gaps from previous lectures and advancing towards continuous time stochastic processes. We will discuss martingales and their convergence theory (including a proof of the law of large numbers), weak convergence theory (including a proof of the central limit theorem) and then proceed towards the Brownian motion (including the Donsker theorem).
Martin Slowik, Helmut Pitters
Formal course description: This is a mathematical lecture for master students (8 ECTS, Mathematik C).
Ilias: Please register to the lecture on portal2 and/
Exams: will be oral, here are some hints