Wahrscheinlichkeitstheorie 2 (Probability Theory 2)
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.
Updates:
The lectures are suspended until the end of 19 April. We will upload notes and solutions for self-learning.
Lecture notes for the week 16.03.2020–20.03.2020.
Team
Dr. Quan Shi
Schedule
Lecture:
Monday, B2,10:15–11:45
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
Updates:
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 10 February, 12:00 – 13:30, D002.
No lectures: Monday Febrary 24, Wednesday 26 February
No Exercise class: Monday Febrary 24.
Exercise sheets
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.
- Exercise sheet 1 for 17/
02/2020 (no homework for this sheet) Solutions for Ex 4–6 - Exercise sheet 2 for 02/
03/2020 (homework is due by 28/ 02/2020) - Exercise sheet 3 for 04/
03/2020 (homework is due by 28/ 02/2020) - Exercise sheet 4 for 09/
03/2020 (homework is due by 05/ 03/2020) - Exercise sheet 5 for 16/
03/2020 (homework is due by 12/ 03/2020). Solutions - Exercise sheet 6 (homework is due by 20/
03/2020) - Exercise sheet 7 (homework is due by 27/
03/2020) - Exercise sheet 8
- Exercise sheet 9
- Exercise sheet 10
- Exercise sheet 11
- Exercise sheet 12
- Exercise sheet 13
- Exercise sheet 1 for 17/
Literatures
- Major reference:
Klenke, “Wahrscheinlichkeitstheorie” and its English version.
We plan to cover some of the materials in Chapter 8 – 12, 17, 18, 21, 22.
- Other literatures:
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”