Stochastic Models

ZIELGRUPPE

  • PhD Statistics and OR

LEHRVERANSTALTUNGS-TYP

UK (prüfungsimmanent)

UNTERRICHTSSPRACHE

ENGLISH

1. ZIELE

To present modern concepts for stochastic processes

2. INHALTE

Types of stochastic processes: discrete time, continuous time, discrete space and continuous space, Markov-Chains and -Processes, ergodicity, Martingales, Wiener Process, stochastic differential equations

3. LITERATUR

Additional reading material may be announced in the lecture.

4. LEISTUNGSKONTROLLE

Oral Exam