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

Mandatory exercisesThe students should tick the solved exercises until 8 am on the day of the exercise class. In case the exercise class takes place online, students should also upload the solutions to moodle until 8 am on the day of the exercise class.In the exercise class, the students present the solutions to the exercises.

Markov chainsDefinitionsMartingalesBrownian motionPoisson processCompound Poisson processLévy processesSimulation of stochastic processes

Stochastics 2

Lecture notes available

There are 100 P. in total. The number of exercises solved counts 80 P., the presentations count 20 P.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

Everything that is covered in the lecture Stochastic Processes.

The mark depends only on the number of points achieved.Cancellation of participation without grading is possible via e-mail to Sabrina Hauser (sabrina.hauser@aau.at) until 31.03.2023.