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Applied Stochastics

Probability 2

08001400 · Stochastik 2

Lecturer: Prof. Dr. Markus Bibinger

Tutor: Patrick Bossert

  • Date and location: There are  lectures each Tuesday, 16:00-17:30 pm, in Hörsaal 4 and each Thursday, 12:15-13:45 pm, in Hörsaal 3, Nat.wiss. HS-Bau, ground level.
  • Start: 26.04.2022, 16:15 pm
  • Exercises (Vst.-Nr.  08001450): Monday, 12:15-13:45 pm. Tutorials will start in the second lecture week.
  • Exams: Written exam to be announced.
  • Registration for the exam: Via WueStudy, registration period will be announced.
  • Language: German

Contents of the lecture:

This course builds upon the course Stochastik 1. We consider the fundamental concepts of probability based on measure and integration theory. Topics of the course include

  • Probability spaces, random variables and independence
  • Laws of large numbers
  • Modes of convergence in probability
  • Characteristic functions
  • Central limit theorem
  • Random vectors and matrices
  • Multivariate normal distribution
  • Elements of statistics

Requirements: Stochastik 1

Literature:

  • Billingsley, P.: Probability and Measure, John Wiley & Sons, 1995.
  • Durrett, R.: Probability Theory and Examples, Wadsworth & Brooks, 1991.
  • Feller, W.: An Introduction to Probability Theory and Its Applications, Volume 1, Wiley, 1968.
  • Feller, W.: An Introduction to Probability Theory and Its Applications, Volume 2, Wiley, 1971.
  • Jacod, J. and P. Protter: Probability Essentials, Springer, 2000.
  • Klenke, A.: Wahrscheinlichkeitstheorie, Springer, 2008.

Notes:

(1) Registration (Vst.-Nr. 08001450) in WueStudy is required!

(2) Materials (lecture notes, videos, exercise sheets) via WueCampus (Link ).