Syllabus

Title
2318 Stochastische Prozesse
Instructors
Assist.Prof. Priv.Doz.Dr. Paul Eisenberg
Contact details
Type
PI
Weekly hours
2
Language of instruction
Deutsch
Registration
09/14/20 to 10/04/20
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Wednesday 10/07/20 04:00 PM - 07:00 PM D4.0.039
Wednesday 10/14/20 04:00 PM - 07:00 PM D4.0.039
Wednesday 10/21/20 04:00 PM - 07:00 PM D4.0.144
Wednesday 10/28/20 01:00 PM - 04:00 PM D4.0.133
Wednesday 11/04/20 04:00 PM - 07:00 PM D4.0.144
Wednesday 11/11/20 04:00 PM - 07:00 PM D4.0.144
Wednesday 11/18/20 01:00 PM - 04:00 PM D4.0.019
Procedure for the course when limited activity on campus

In case that only a more limited number of students may come to the campus: Reduced presence during lecture/tutorials and students will be provided by online learning material, e.g. recorded lecture, lecture notes.

If no students are allowed on the campus,then shift to full on-line learning: Recorded lectures, lecture notes, Tutorials will be moved to Teams.

Contents

The course deepens the understanding of concepts, methods and tools from stochastic analysis; specifically continuous time Markov chains and Levy processes.

It introduces two main mathematical concepts, namely continuous time Markov chains and Levy processes. Markov chains play a prominent role in financial modelling where they are often used for regime-switching phenomena. Levy processes are a natural generalisation of Brownian motion and many concepts for Brownian motion can be generalised to Levy processes. More importantly, they give a key understanding of semimartingales in general which somewhat locally behave like Levy processes.

This course starts with an outline of its goals. Then, continuous time Markov chains are discussed. We develop transition graphs, transition laws, semigroups and generators for them. Subsequently, we start to deal with Levy processes, discuss its Levy-Ito decomposition and introduce the so-called Levy triplet. The latter is a minimal probabilistic description of the Levy process at hand.

Learning outcomes

After completing the course, students will be able to handle continuous time Markov chains and have a basic understanding of Levy processes. This enables the students to read and understand further textbooks on these topics as well as understanding introductions to semimartingales and their characteristics.

Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Teaching/learning method(s)

This course is taught as lectures and tutorials with exercise which have to be solved individually by the students. In combination with the lectures, the course exercises will help students to consolidate and expand their understanding of the theoretical and applied methods discussed in the lectures.

Assessment

Course evaluation consists of three parts:

  • Final oral exam of approx. 15 min length (50 per cent)
  • Active participation during classes (26 per cent)
  • 6 Homework assignments (24 per cent)
Recommended previous knowledge and skills

Students require prior knowledge on probability theory and preferable knowledge/intuition on conditional expectation.

Last edited: 2020-06-26



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