312.180 (24S) Stochastic Processes
Überblick
- Lehrende/r
- LV-Titel englisch Stochastic Processes
- LV-Art Vorlesung
- LV-Modell Präsenzlehrveranstaltung
- Semesterstunde/n 2.0
- ECTS-Anrechnungspunkte 3.0
- Anmeldungen 15
- Organisationseinheit
- Unterrichtssprache Englisch
- LV-Beginn 07.03.2024
- eLearning zum Moodle-Kurs
Zeit und Ort
LV-Beschreibung
Intendierte Lernergebnisse
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.
Lehrmethodik
Lecture with virtual blackboard and examples.
Inhalt/e
Markov chains
Poisson processes
Brownian motion
Martingales
Simulation of stochastic processes
Erwartete Vorkenntnisse
Stochastics 2
Literatur
Lecture notes available
Prüfungsinformationen
Prüfungsmethode/n
There will be a written final exam, which can be repeated 3 times.
Planned dates:
1. exam date: 27.06.2024
2. exam date: calendar week 40/41
3. exam date: calendar week 46/47
4. exam date: end of January 2025
Prüfungsinhalt/e
All topics that are covered in the lecture.
Beurteilungskriterien/-maßstäbe
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
Beurteilungsschema
Note BenotungsschemaPosition im Curriculum
- Doktoratsprogramm Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(SKZ: ---, Version: 16W.1)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Statistics
(Pflichtfach)
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS)
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
-
Fach: Statistics
(Pflichtfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 22W.1)
-
Fach: Statistics and Probability
(Pflichtfach)
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
- 312.180 Stochastic Processes (2.0h VO / 3.0 ECTS) Absolvierung im 2. Semester empfohlen
-
3.2 Stochastic Processes (
2.0h VO / 3.0 ECTS)
-
Fach: Statistics and Probability
(Pflichtfach)
Gleichwertige Lehrveranstaltungen im Sinne der Prüfungsantrittszählung
-
Sommersemester 2023
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2022
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2021
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2020
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)
-
Sommersemester 2019
- 312.180 VO Stochastic Processes (2.0h / 3.0ECTS)