Stochastic Processes

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).

  • Team

    Martin Slowik, Felix Brenning

  • Information

    This is a mathematical lecture for master students (8 ECTS, Mathematik C).

    Ilias: Please register to the lecture on Ilias. Further informations can be find there.

    Exams: will be oral, here are some hints