(dt. Stochastische Prozesse)
|Level, degree of commitment in original study programme||Advanced module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.|
|Original study programme||M.Sc. Wirtschaftsmathematik / Mathematische Vertiefungs- und Praxismodule|
|One semester, |
Regelmäßig im Wechsel mit anderen advanced moduleen
|Person in charge of the module's outline||Prof. Dr. Markus Bibinger, Prof. Dr. Hajo Holzmann|
The lecture continues the probability theory and introduces different classes of stochastic processes. Depending on the specific lecture, the focus will be on one or more of the classes of martingales, Markov processes, point processes, stationary processes, possibly including basic elements of stochastic calculus.
The students shall
- acquire basic knowledge of the theory of stochastic processes in continuous time,
- master techniques of construction and analysis of stochastic processes,
- be introduced to a current scientific field,
- practice mathematical methods (development of mathematical intuition and its formal justification, training of the ability to abstract, proof methods),
- improve their oral communication skills in the recitation classes by practicing free speech in front of an audience and during discussion.
None. The competences taught in the following modules are recommended: either Foundations of Mathematics and Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Probability Theory.
- Abhängig von der Veranstaltung
This page describes a module according to the latest valid module guide in Sommersemester 2021. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.
The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.