Prof. Dr. Anton Bovier

Time and location:Tuesdays,  8-10 We10/ Kleiner Hörsaal
Fridays,    10-12 We10/ Kleiner Hörsaal
Beginning:Tue. 09.04.2013


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