240151 Wahrscheinlichkeitstheorie II (V) (WiSe 2017/2018)
Short comment
- Stochastic Analysis
Contents, comment
-
Topics
- Construction of Brownian motion
- Properties of Brownian motion
- Markov and strong Markov property for Brownian motion
- Continuous semimartingales
- Stochastic integration
- Properties of stochastic integrals
- Stochastic differential equations (SDEs)
- Existence and uniqueness of solutions to SDEs
- Ito's formula
- Properties of solutions to SDEsLernraumPlus: https://lernraumplus.uni-bielefeld.de/course/view.php?id=1711
Requirements for participation, required level
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Required prerequisites: Probability Theory I
Recommended prerequisites: Ordinary Differential Equations I
Bibliography
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See "Semesterapparat" in the library.
External comments page
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Di | 8-10 | U2-205 | 09.10.2017-02.02.2018
not on: 10/31/17 / 12/26/17 / 1/2/18 |
|
| weekly | Do | 8-10 | U2-205 | 09.10.2017-02.02.2018
not on: 12/28/17 / 1/4/18 |
|
| one-time | Mi | 10-12 | T2-228 | 20.12.2017 |
Subject assignments
The binding module descriptions contain further information, including specifications on the "types of assignments" students need to complete. In cases where a module description mentions more than one kind of assignment, the respective member of the teaching staff will decide which task(s) they assign the students.
- E-Learning Space
- E-Learning Space
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- Notes:
- Additional notes on the electronic mailing lists
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- Last update basic details/teaching staff:
- Thursday, July 13, 2017
- Last update times:
- Monday, December 18, 2017
- Last update rooms:
- Monday, December 18, 2017
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 4
- Language
- This lecture is taught in english
- Department
- Faculty of Mathematics
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- https://ekvv.uni-bielefeld.de/kvv_publ/publ/vd?id=102923154
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- 102923154