The students should be able to define a stochastic process.The students should know Markov chains.The students should know Brownian motion and properties thereof.The students should know Poisson processes and compound Poisson processes.The students should be able to simulate paths of certain stochastic processes.The students should understand martingales.

Lecture with virtual blackboard and examples.

Markov chainsPoisson processesBrownian motionMartingalesSimulation of stochastic processes

Stochastics 2

Lecture notes available

There will be a written final exam, which can be repeated 3 times.Planned dates:1. exam date: 27.06.20242. exam date: calendar week 40/413. exam date: calendar week 46/474. exam date: end of January 2025

All topics that are covered in the lecture.

The mark depends on the number of points the student achieves at the final exam.The point scheme is as follows:[100 , 87.5] P. -> 1(87.5 , 75] P. -> 2(75 , 62.5] P. -> 3(62.5 , 50] P. -> 4(50 , 0] P. -> 5