Stochastic processes I 1000-135PS1
Introduction to basic types of stochastic processes like processes homogeneous in time and space (e.g. Wiener process, Poisson process), processes without memory (Markov processes). Elements of stochastic analysis: stochastic integration and stochastic equations.
Type of course
Prerequisites
Bibliography
1. Bass, Richard F., Probabilistic techniques in analysis. Probability and its Applications (New York). Springer-Verlag, New York, 1995.
2. Durrett, Richard, Brownian motion and martingales in analysis. Wadsworth Mathematics Series. Wadsworth International Group, Belmont, CA, 1984.
3. Rogers, L. C. G.; Williams, David, Diffusions, Markov processes, and martingales. Vol. 1. Foundations. Second edition. Wiley Series in robability and Mathematical Statistics: Probability and Mathematical Statistics. John Wiley & Sons, Ltd., Chichester, 1994.
4. Willams, David, Diffusions, Markov processes, and martingales. Vol. 1. Foundations. Probability and Mathematical Statistics. John Wiley & Sons, Ltd., Chichester, 1979.
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: