Stochastic Processes

Dr. Alexander Kalinin

Schedule and Venue

EventsDate/TimeRoom
Lectures
Dr. Alexander Kalinin
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Exercise Classes
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Additional Exercise Classes
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Retake ExamTBATBA

The course is organised via Moodle. If you want to attend the course, please register in Moodle.

In this lecture, we will consider various classes of stochastic processes that may differ in their state spaces and underlying index sets with a special focus on Gaussian, Lévy and Markov processes. In summary, the lecture will be divided into three core topics: the construction, the path behaviour and the probabilistic analysis of general stochastic processes.

  • Bauer, H.: Probability theory, De Gruyter, 2011.
  • Marcus, M. B. and Rosen, J.: Markov processes, Gaussian processes, and local times, Cambridge University Press, 2006.
  • Applebaum, D.: Lévy processes and stochastic calculus, Cambridge University Press, 2009.

All three books are available as PDF files for LMU students at the university library.

Target Participants: Master students in Mathematics and Financial and Insurance Mathematics.

Pre-requisites: Probability theory and measure and integration theory.

Applicable credits: 9 ECTS. Students may apply the credits from this course to the

  • Master in Mathematics, PO 2021 (WP 4),
  • Master in Financial and Insurance Mathematics, PO 2021 (WP 12), PO 2019 (WP 13).