Technische Universität Ilmenau

Stochastic Processes - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers. Please also pay attention to this legal advice (german only). Information on place and time of the actual lectures is served in the Vorlesungsverzeichnis.

subject properties subject number 5812 - common information
subject number5812
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Group for Probability Theory and Mathematical Statistics)
subject leaderProf. Dr. Thomas Hotz
term Wintersemester
previous knowledge and experience

maßtheoretisch fundierte Wahrscheinlichkeitstheorie

learning outcome

Die Studierenden sind in der Lage, stochastische Prozesse geeignet zu modellieren und zu analysieren.


Grundlagen, Poisson-Prozess, Gaußsche Prozesse, Martingale in diskreter Zeit, Markovketten, 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


WS 2015/16 (Fach)

Freiwillige Evaluation:


Details in major Master Mathematik und Wirtschaftsmathematik 2008, Master Mathematik und Wirtschaftsmathematik 2013 (AM), Master Mathematik und Wirtschaftsmathematik 2013 (WM)
subject nameStochastic Processes
examination number2400185
credit points5
on-campus program (h)45
self-study (h)105
examoral examination performance, 30 minutes
details of the certificate
maximum number of participants