249035 Wahrscheinlichkeitstheorie II (V+Ü) (SoSe 2004)
Contents, comment
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Die Vorlesung ist eine Fortsetzung der Maß- und Wahrscheinlichkeitstheorie aus dem WS 03/04.
Es werden Eigenschaften der Brownsche Bewegung behandelt. Danach folgt eine Einführung in
die stochastische Integration sowie in die Martingaltheorie mit Anwendungen auf Optionsmodelle.
Falls zeitlich möglich, soll auch auf einige Grundbegriffe der Statistik der stochastischer Prozesse
eingegangen werden.Literatur:
Breiman: Probability
Karatzas, Schreve: Brownian Motion and stochastic Calculus
Williams: Probability with Martingales
Durett: Stochastic Calculus
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Di | 10:00-12:00 | U5-133 | 19.04.-30.07.2004 | |
| weekly | Do | 10:00-12:00 | U5-133 | 19.04.-30.07.2004 | |
| by appointment | n.V. | Uebungen |
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Mathematik / Diplom | (Enrollment until SoSe 2008) | Wahl | 5. 6. | scheinfähig HS | |||
| Mathematik / Diplom | (Enrollment until SoSe 2008) | Wahl | scheinfähig Graduierte | ||||
| Mathematik / Lehramt Sekundarstufe II | Wahl | 5. 6. | scheinfähig HS | ||||
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | Wahl | 5. | scheinfähig Mathematik/Diplom, Mathematik/Bachelor HS |
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- Last update basic details/teaching staff:
- Friday, December 11, 2015
- Last update times:
- Thursday, November 20, 2003
- Last update rooms:
- Thursday, March 4, 2004
- Type(s) / SWS (hours per week per semester)
- lecture (V) + exercise (Ü) / 4+2
- Department
- Faculty of Mathematics
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