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04-10-0332 Stochastische Prozesse · TUPlan

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04-10-0332

Stochastische Prozesse

FB04 Mathematics · Offered in WiSe 2025/26

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Weekly sessions · WiSe 2025/26

Mon11:40–13:20S202/C120 · Vorlesung und Übung
Thu08:00–09:40S202/C120 · Vorlesung und Übung
Fri13:30–15:10S103/110 · Übung

Parts

04-10-0332-vuLecture with exercise6 contact h/week

Language: Deutsch
Taught by: Prof. Dr. rer. nat. Frank Aurzada, M.Sc. Max Wiegand

Course content

Allgemeine Theorie der stochastischen Prozesse: Pfadraum, Filtrationen, Übergangskerne, Generatoren und Halbgruppen, Martingale. Sprungprozesse: Erneuerungsprozesse, Poisson-Prozess, Markov-Ketten in stetiger Zeit. Prozesse mit stetigen Pfaden: Brown'sche Bewegung, Pfadeigenschaften der Brown'schen Bewegung, stochastische Integrale, stochastische Differentialgleichungen und Ito-Kalkül, Girsanov-Transformation, Feynman-Kac Formel.

Exam dates

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