Introduction to Stochastic Analysis, Summer term 2025
Tuesdays 8.15-10.00 and fridays 10.15-12.00, KHS, Wegelerstr. 10
Lecture course: Andreas Eberle
Exercises: Francis Lörler
Tutorial classes in Room 0.006 (starting on friday 11.4.):
- Monday 8 Uriel Braham (the week after easter exceptionally on wednesday 22.4., 8-10, Room N0.008)
- Tuesday 10 Heiner Stückemann
- Friday 12 Piro Manco (the week before easter exceptionally on thursday 17.4., 10-12, Room 0.007)
Exam: oral exams (18.7., 15.8., 21.8., 25.9.)
Material:
Problem Sheets:
- Sheets 0 and 1 (Sheet 0 will be discussed during the first tutorial; Sheet 1 is due April 15)
- Sheet 2 (due April 23)
- Sheet 3 (due April 30)
Remark on exercises with a programming part: These can be done in a programming language/system of your choice - just submit a printout of your listings. If you do not have another preference, we recommend Python with Jupyter Notebooks for which examples and model solutions will be provided here.
Installation: We recommend the distribution Anaconda. It already contains all packages that we will need (at first, these are mainly NumPy for numerical computations and matplotlib for 2D-plots), as well as many others. A brief intoduction and help for installation can be found here and here. Once you have installed and started Jupyter notebooks, you should go through and execute the following example notebook (ipynb-format) which contains a short introduction to Python that concludes with a simulation of random walks:
A good next reference are the Scipy lecture notes that contain introductions to Python, NumPy and matplotlib. Further useful references:
- SciPy: Lecture notes, Getting started, Resources
- NumPy: Quickstart, Array creation, Comparison to MATLAB
- matplotlib: Gallery, Tutorials
- Python tutorial
April 2025 Andreas Eberle eberle@uni-bonn.de