107.A26 Advanced Probabilty Theory
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2022W, VO, 3.0h, 4.5EC

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to show excellence in special fields of probability.

After having successfully completed the course, students are able to work with random point processes, Levy processes and to apply them in various fields of mathematics.

Subject of course

A large part of these lectures will be devoted to Levy processes, that are continuous-time stochastic processes with independent and stationary increments, and play an important role in applications (e.g. financial and actuarial mathematics). Levy processes include the famous cases of the Poisson process and the Brownian motion, but also the so-called stable processes and subordinators. We will develop the theory of Levy processes starting from the basics. Some preliminary lectures will be devoted to random point processes and in particular to Poisson point processes, that play an important role in the construction of Levy processes. 

 

Teaching methods

Lectures will take place in English. They will take place in person (with no streaming or recording); only in case of new lockdown they will be online.

I will use parts of the following books

- A. Kyprianou, Introductory lectures on fluctuations of Levy processes with applications

- J. Bertoin, Levy processes

 

Mode of examination

Oral

Additional information

 Office hours for students: Tuesdays 2 p.m. - 3 p.m.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed10:00 - 12:0012.10.2022 - 25.01.2023Sem.R. DC rot 07 Advanced Probabilty Theory
Thu11:00 - 12:0013.10.2022 - 26.01.2023Sem.R. DC rot 07 Advanced Probabilty Theory
Wed10:00 - 12:0007.12.2022 - 14.12.2022Sem.R. DA grün 06B 107.A26: Advanced Probabilty Theory
Thu11:00 - 12:0015.12.2022Sem.R. DA grün 06A 107.A26: Advanced Probabilty Theory
Advanced Probabilty Theory - Single appointments
DayDateTimeLocationDescription
Wed12.10.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu13.10.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed19.10.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu20.10.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu27.10.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu03.11.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed09.11.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu10.11.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed16.11.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu17.11.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed23.11.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu24.11.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed30.11.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu01.12.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed07.12.202210:00 - 12:00Sem.R. DA grün 06B 107.A26: Advanced Probabilty Theory
Wed07.12.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Wed14.12.202210:00 - 12:00Sem.R. DA grün 06B 107.A26: Advanced Probabilty Theory
Wed14.12.202210:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory
Thu15.12.202211:00 - 12:00Sem.R. DA grün 06A 107.A26: Advanced Probabilty Theory
Thu15.12.202211:00 - 12:00Sem.R. DC rot 07 Advanced Probabilty Theory

Examination modalities

oral exam

Course registration

Begin End Deregistration end
15.09.2022 12:00 08.10.2022 00:00

Curricula

Literature

No lecture notes are available.

Previous knowledge

Measure & Probability Theory. Preferably also some knowledge of Stochastic processes

Language

English