240071 Wahrscheinlichkeitstheorie II (V) (SoSe 2013)
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Diese Vorlesung schließt sich an die Vorlesung "Wahrscheinlichkeitstheorie 1" aus dem Wintersemester an.
Ziel ist das Konzept der stochastischen Integration nach K. Ito. Sie ist Grundlage der stochastischen Analysis, also der Untersuchung von stochastischen Prozessen und findet mannigfaltige Anwendungen in der mathematischen Modellierung von finanzmathematischen, physikalischen und biologischen Zusammenhängen.Themen der Vorlesung sind:
- stetige Martingale
- Ito-Integral, Ito-Formel, Ito-Kalkül
- stochastische Differentialgleichungen
- Martingaldarstellungssatz
- Girsanov-Transformation
- Martingalmaße, Derivate, Black-Scholes-FormelDiese Vorlesung kann von Studierenden der Wirtschaftsmathematik als "Stochastische Analysis" im Profil "Finance" angerechnet werden.
Nach den faecherspezifischen Bestimmungen (siehe http://www.math.uni-bielefeld.de) des neuen Masterstudienganges koennen Bachelor-Studierende, die sich im letzten Jahr ihres Bachelorstudiums befinden, maximal 20 LP fuer den Masterstudiengang Mathematik vorstudieren.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Di | 10-12 | R2-155 | 08.04.-19.07.2013 | |
| weekly | Fr | 14-16 | C01-142 | 08.04.-19.07.2013 |
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.
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Mathematik / Diplom | (Enrollment until SoSe 2008) | Wahl | 5. 6. 7. 8. | scheinfähig HS | |||
| Mathematik / Master | (Enrollment until SoSe 2011) | MM04S | Wahlpflicht | 2. | 9 | benotet | |
| Mathematik / Master | (Enrollment until SoSe 2011) | MM13S | Wahlpflicht | 2. | 9 | unbenotet | |
| QEM - Models and Methods of Quantitative Economics / Master | |||||||
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | Wahl | 5. 6. 7. 8. | scheinfähig HS | |||
| Wirtschaftsmathematik / Master | (Enrollment until SoSe 2011) | MW04S; MW07S | Wahlpflicht | 2. 3. | 9 | benotet |
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- Last update basic details/teaching staff:
- Friday, December 11, 2015
- Last update times:
- Friday, February 22, 2013
- Last update rooms:
- Friday, February 22, 2013
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 4
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- Faculty of Mathematics
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