ATTENTION: New timeslot for the exercise session. The exercise session is now every Wednesday at 17:15h in 39/733.

So the schedule is now:

Tue 17:15h Lecture in 2/N105

Wed 9:15h Lecture in 2/N102

Wed 17:15h Exercise in 39/733

Lecture (4+2SWS), Winter 2018/19, TU Chemnitz

Lecturer: Dr. Joscha Diehl

ECTS credits: 8

Exam: Oral exam (30min)

Content of the lecture:

- Kolmogorov Extension Theorem
- Markov chains in discrete time (and space)
- Martingales
- Continuous time stochastic processes
- Construction of Brownian motion

Literature:

- Achim Klenke: Probability Theory, 2nd edition, Springer (2014)
- Lecture notes (2019-02-20)

Exercise sheets:

Exercise 1 | Coding exercise 1
| Exercise 1 (solution) | Coding exercise 1 (solution)

Exercise 2 | Coding exercise 2
| Exercise 2 (solution)

Exercise 3
| Exercise 3 (solution)

Exercise 4
| Exercise 4 (solution)

Exercise 5
| Exercise 5 (solution)

Exercise 6
| Exercise 6 (solution)

Exercise 7 | Coding exercise 3
| Exercise 7 (solution)

Exercise 8
| Exercise 8 (solution)

Exercise 9
| Exercise 9 (solution)

Overview from the first session.