Teaching

Lectures

Winter term 2016/2017

• Stochastic Processes
  Lecture Notes

Winter term 2015/2016

• Probability with Martingales
  Tutorials
  Übungsblatt 4, Übungsblatt 5, Übungsblatt 6
   

Courses

Summer term 2016 (TU Zagreb, Erasmus-Exchange)

• Introduction to Jump Processes

Summer term 2015 (TU Dresden, Graduate Lectures)

• Introduction to Semimartingales
  Jump processes, in particular semimartingales, play a fundamental role in stochastic analysis. Aim of this lectures is to introduce graduate and PhD students into the topic. To make the understanding easier, we concentrate on Lévy processes (i.e. processes with homogeneous and independent increments), a special case of semimartingales. We consider the jump measure of a Lévy process and define the stochastic integral relatively to it. Then we establish the canonical representation for semimartingales which are Lévy processes, that is the Itô-Lévy decomposition.