Stochastic processes, SS 2016

Time and Room	Tuesday, 8-10, Kleiner Hörsaal
	Friday, 10-12, Kleiner Hörsaal
Exercises	Monday 16-18, LWK 0.007
	Tuesday 10-12, LWK 0.007

Content

This lecture gives an introduction to the theory of stochastic processes. The main subjects that will be covered are:

• Construction of stochastic processes; Theorem of Daniell-Kolmogorov
• Conditional expectation and probability
• Martingales in discrete time
• Discrete time Markov processes and Gaussian processes
• Brownian motion and Donsker's Theorem

 

Lecture notes

•	Lecture notes of Prof. Bovier (2013).
•	Lecture 27.05
•	see also Chapter 1 of the following
•	Lectures 31.05 and 3.06