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This course is part of the MAGIC core.


The course will introduce the basic concept of stochastic processes. As special and important example the Brownian motion is considered. The general theory of stochastic processes is studied. The stochastic integral is introduced and the Ito formula derived.


Spring 2020 (Monday, January 20 to Friday, March 27)


  • Live lecture hours: 10
  • Recorded lecture hours: 0
  • Total advised study hours: 40


  • Thu 10:05 - 10:55


Measure theory and integration. Basics of measure theoretical probability, for example in the sense of the first 5 chapters in Leo Breiman's book Probability.


  • Introduction to general theory of stochastic processes
  • Construction of Brownian motion
  • General theory of stochastic processes
  • Stochastic Integration
  • Ito calculus

Other courses that you may be interested in:


Tobias Kuna
Phone 01183786028
Photo of Tobias Kuna


Brownian motionM{"o}rters and Peres
Stochastic integration with jumpsBichtler, Klaus
Stochastic Integrationsvon Weizsaecker, Heinrich and Winker, Gerhard
Foundations of Modern ProbabilityKallenberg, Olav
Probability essentialsJacod and Protter
Stochastic processesDoob
Probability theoryKlenke
Measure TheoryHalmos


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Results stated in the questions can be used in the later parts of the same question and the exam. Results from the lecture can be used when not requested otherwise. They need to be cited.
Full marks for this sheet corresponds to 50 marks. You can answer all the question (100 marks possible) and all marks achieved will be added. The final result will be capped at 50 marks.

No assignments have been set for this course.

Recorded Lectures

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