The lectures covers classical topics from the theory of stochastic processes in general state spaces. We discuss measurability issues on the space of trajectories and general conditional expectations which are then used to discuss martingales, Markov processes and Brownian motion.
The lectures are suspended until the end of 19 April. We will upload notes and solutions for self-learning.
Prof. Dr. Martin Slowik, Dr. Quan Shi
Wednesday, B2, 10:15-11:45
brand new WIM summer house (behind B6), room D002.
Exercise classes: Monday, B3 12:00-13:30, room D002.
Oral exams: after the semester
There is an additional exercise class:
Wednesday March 04, 15:30 - 17:00, A 1.04 in B6.
There are additional lectures:
Wednesday March 11, 15:30 - 17:00, A 1.04 in B6.
Monday February 10, 12:00 - 13:30, D002.
No lectures: Monday Febrary 24, Wednesday February 26
No Exercise class: Monday Febrary 24.
Hand in your homework before the deadline to B6, 26 Floor 3. You find a folder with the name Quan Shi in the kitchen area. Or directly hand in to my office, B305.
We plan to cover some of the materials in Chapter 8 - 12, 17, 18, 21, 22.
Potthoff, „Stochastic processes“
Bovier, „Stochastic processes“
Durrett, „Probability: theory and examples“
Luschgy, „Martingale in diskreter Zeit“ (for the martingale chapters)
Le Gall, „Brownian motion, martingales and stochastic calculus“ (rather advanced)
Bass, „Stochastic processes“