Stochastic Analysis SS 2021 (V4F1)
|Times:||Tuesday 12-14 c.t.|
|Thursday 12-14 c.t.|
The Lecture will be held digitally via Zoom. Links will be published on eCampus. Register here for the course.
This is the second course on stochastic analysis. It will cover a selection of advanced topics. Currently, the plan is to cover:
- Stochastic differential equartions and partial differential equations
- One-dimensional diffusions, speed measures, and the trap model
- Lévy processes
- Extreme values and Poisson point processes
- Functional limit theorems for sums of independent random variables
- Extensions to sums of dependent random variables and applications to random walks in random environments
Prerequisites: The course will assume knowledge in probability theory based on the courses Stochastic Processes and Introduction to Stochastic Analysis. The material coverd in the course Markov Processes is not required.
will be on Wednesday 16 c.t., beginning in the second week of the lecture. All exercise classes also take place via Zoom. Register for the course on ecampus.
will be oral via Zoom. Check your electronic devices and setup beforehand:
your camera and sound must be working, further make sure you have a writing tablet
or an additional well-arranged camera showing a sheet of paper on which you can write.
As a rule, you will have the option to select a specific topic with which to start the exam.
Periods for the exams are
- 26.07. - 06.08. 2021
- 20.09. - 30.09. 2021
You have at most two attempts for passing the exam.