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


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