Technische Universität Ilmenau

Stochastic Processes - Modultafeln of TU Ilmenau

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module properties Stochastic Processes in degree program Master Mathematik und Wirtschaftsmathematik 2013 (AM)
module number5812
examination number2400185
departmentDepartment of Mathematics and Natural Sciences
ID of group 2412 (Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
term winter term only
languageDeutsch
credit points5
on-campus program (h)45
self-study (h)105
obligationobligatory module
examoral examination performance, 30 minutes
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
maximum number of participants
previous knowledge and experience

maßtheoretisch fundierte Wahrscheinlichkeitstheorie

learning outcome

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

content

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

media of instruction and technical requirements for education and examination in case of online participation

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

Pflichtevaluation:

WS 2015/16 (Fach)

Freiwillige Evaluation:

Hospitation:

WS 2018/19