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Stochastic Processes
(dt. Stochastische Prozesse)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
workload		 Lecture (3 SWS), recitation class (1 SWS),
180 hours (60 h attendance, 120 h private study)
Credit points,
formal requirements		 6 CP
Course requirement(s): Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination (individual examination)
Language,
Grading		 English,
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics.
Duration,
frequency		 One semester,
Regularly alternating with other specialization modules
Person in charge of the module's outline Prof. Dr. Hajo Holzmann

Contents

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.


Qualification Goals

Students will

  • Know fundamentals of the theory of stochastic processes in continuous time,
  • are proficient in techniques of constructing and analyzing stochastic processes,
  • Have been introduced to a current scientific field,
  • have deepened mathematical working methods (developing mathematical intuition and its formal justification, abstraction, proof),
  • have improved their oral communication skills in exercises by practicing free speech in front of an audience and in discussion.

Prerequisites

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.


Applicability

Module imported from M.Sc. Business Mathematics.

It can be attended at FB12 in study program(s)

  • B.Sc. Mathematics
  • B.Sc. Business Mathematics
  • M.Sc. Computer Science
  • M.Sc. Mathematics
  • M.Sc. Business Mathematics

When studying M.Sc. Computer Science, this module can be attended in the study area Profile Area Mathematics.


Recommended Reading

  • Depending on the course.



Please note:

This page describes a module according to the latest valid module guide in Winter semester 2023/24. 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:

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.