Technische Universität Ilmenau

Stochastic Processes - Modultafeln of TU Ilmenau

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module properties module number 200450 - common information
module number200450
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Group for Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
term Wintersemester
previous knowledge and experience

Maßtheorie & Stochastik

learning outcome

Die Studierenden sind nach der Vorlesung und den sie begleitenden Übungen in der Lage, stochastische Prozesse im Rahmen der behandelten Modellklassen geeignet zu modellieren und das stochastische Verhalten dieser Modelle zu analysieren.


Grundlagen, Poisson-Prozess, Gaußsche Prozesse, Martingale, Markovprozesse, Brownsche Bewegung

media of instruction

Tafel, Skript, Aufgaben, Software

literature / references

Durrett, R. (1996). Probability: Theory and Examples, 2nd edn, Wadsworth Publishing Company, Belmont, CA.

Klenke, A. (2006). Wahrscheinlichkeitstheorie, 3rd edn, Springer, Berlin.

Kallenberg, O. (2002). Foundations of Modern Probability, 2nd edn, Springer, New York.

Durrett, R. (1999). Essentials of Stochastic Processes, Springer, New York.

evaluation of teaching
Details reference subject
module nameStochastic Processes
examination number2400802
credit points10
SWS6 (4 V, 2 Ü, 0 P)
on-campus program (h)67.5
self-study (h)232.5
examoral examination performance, 30 minutes
details of the certificate
Signup details for alternative examinations
maximum number of participants