Probability Theory III (WS 2014/15)

Joint work with M. Sc. Christian Wiesel.

Lecture

• Tue and Thu 8-10 in H8, Reader: Prof. Dr. Barbara Gentz.
•  
• Lecture notes (provided by Christian Wiesel):
• ZIP (password needed)  from 11.12.2014
• ZIP (password needed)  from 15.01.2015
• ZIP (password needed)  from 20.01.2015
• ZIP (password needed)  from 22.01.2015

Tutorial

• Wed 16-18 in V2-216, Tutor: Diana Kämpfe / Christian Wiesel.

Homework assignment

Sheet 1  (due date: 24.10.2014) Sheet 2  (due date: 31.10.2014) Sheet 3  (due date: 07.11.2014) Sheet 4  (due date: 14.11.2014) Sheet 5  (due date: 21.11.2014) Sheet 6  (due date: 28.11.2014)

Sheet 7  (due date: 05.12.2014) Sheet 8  (due date: 17.12.2014) Sheet 9  (due date: 09.01.2015) Sheet 10  (due date: 16.01.2015) Sheet 11  (due date: 23.01.2015) Sheet 12  (due date: 30.01.2015)

Literature

• BASS, R.: Stochastic processes
• EVANS, L.: An introduction to stochastic differential equations
• KARATZAS, I. und SHREVE, S.: Brownian motion and stochastic calculus
• ØKSENDAL, B. K.: Stochastic differential equations: an introduction with applications
• ...

Questions regarding the tutorial or the homework assignment

Diana Kämpfe Christian Wiesel

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