|Time and location:||Tuesdays, 8-10 We10/ Kleiner Hörsaal|
Fridays, 10-12 We10/ Kleiner Hörsaal
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
- Markov chains
- Brownian motion and Donsker's theorem