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Stochastic Analysis - Single View

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Type of Course	Vorlesung/Übung	Number	517811
Hours per week in term	6	Term	WiSe 2019/20
Department	Institut für Mathematik	Language	englisch
Additional Links	Dozentin
application periods	01.10.2019 - 10.11.2019 enrollment
application periods	01.10.2019 - 20.11.2019 enrollment

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		Day	Time	Frequency	Duration	Room	Lecturer	Canceled/rescheduled on	Max. participants
	Vorlesung	Di	14:15 to 15:45	wöchentlich	15.10.2019 to 04.02.2020	2.09.1.10	Prof. Dr. Roelly	24.12.2019: Akademische Weihnachtsferien 31.12.2019: Akademische Weihnachtsferien
	Vorlesung	Mi	08:15 to 09:45	wöchentlich	16.10.2019 to 05.02.2020	2.09.1.10	Prof. Dr. Roelly	25.12.2019: 1. Weihnachtstag 01.01.2020: Neujahr
	Übung	Do	08:15 to 09:45	wöchentlich	17.10.2019 to 06.02.2020	2.09.1.10		26.12.2019: 2. Weihnachtstag 02.01.2020: Akademische Weihnachtsferien

Literature	- Durett, R. : Essentials of stochastic processes, 1999 - Klenke, A. : Probability Theory, A Comprehensive Course, 2. Auflage Springer 2014 - Mörters, P. and Peres, Y. : Brownian motion, Cambridge Univ. Press 2010
Certificates	Oral or written exam
Learning Content	This course provides a general detailed introduction into the stochastic integration theory with respect to the Brownian motion and the field of stochastic differential equations. The concepts taught are highly relevant for many areas of statistics, (numerical) analysis as well as financial and insurance mathematics. Stochastic analysis is also the basis for many models in the natural and social sciences or engineering.
Target Group	Master of Mathematics, Master in Data Science, Master in Physics

Structure Tree

Lecture not found in this Term. Lecture is in Term WiSe 2019/20 , Currentterm: SoSe 2024

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