Probability and Stochastic Analysis - University of Bonn
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Prof. Dr. Anton Bovier

Time and location: Tuesdays,  8-10 We10/ Kleiner Hörsaal
Fridays,    10-12 We10/ Kleiner Hörsaal
Beginning: Tue. 09.04.2013
Contact: bovier@uni-bonn.de

Content:

This course gives an introduction to the theory of Stochastic Processes.

The following key concepts are covered:

  • Construction of stochastic processes, Theorem of Daniell-Kolmogorov
  • Conditional expectation and conditional probability measures
  • Martingales
  • Markov chains
  • Brownian motion and Donsker's theorem