Universität Wien

250122 VO Stochastics Analysis (2014W)

7.00 ECTS (4.00 SWS), SPL 25 - Mathematik

This course gives an introduction to the theory of stochastic processes in continuous time. The following topics will be discussed:
- Brownian motion
- Markov processes
- Stochastic calculus
- Levy processes
- Stochastic differential equations
Moodle

Details

Language: German

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 07.10. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 09.10. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.10. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 16.10. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.10. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 23.10. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.10. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 30.10. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 04.11. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 06.11. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 11.11. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 13.11. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 18.11. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 20.11. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 25.11. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 27.11. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 02.12. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 04.12. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.12. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 11.12. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.12. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 18.12. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 08.01. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 13.01. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 15.01. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 20.01. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 22.01. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 27.01. 11:15 - 12:50 Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 29.01. 11:15 - 12:50 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

This course gives an introduction to the theory of stochastic processes in continuous time. The following topics will be discussed:
- Brownian motion
- Markov processes
- Stochastic calculus
- Levy processes
- Stochastic differential equations

Assessment and permitted materials

Oral exam

Minimum requirements and assessment criteria

Examination topics

Reading list

Material for the lecture will be published at
http://www.mat.univie.ac.at/~cerny/teaching.html

Association in the course directory

MSTV

Last modified: Mo 07.09.2020 15:40