Probability with Martingales WS 2024/25

Wintersemester / winter term 2023/24

• This course is the foundation course for all further studies in probability theory and stochastics. We will further develop the theory of discrete martingales (started in the course on probability theory for BSc), discuss the CLT and then move on to Brownian motion.
• You will regularly get problems for solution, problems and full solutions will appear on OPAL. A random selection of these problems will serve as a basis for the oral exam at the end of the course. 
• Prerequisites: Measure & Integration (as in Ba-AN30) and  BSc-level probability (as in ST-10). Alternatively, Chapters I-VII and IX.38-40 in my lecture notes Measure, Integral, Probability & Processes (see below).
• Recommended Reading
  • (lecture notes) Schilling: Measure, Integral, Probability, & Processes. Amazon Kindle Self-Publishing, Dresden 2021.
    ISBN: 979-8-5991-0488-9 [www.tinyurl.com/rlscourse]
  • (textbook) Schilling: Brownian Motion. A Guide to Random Processes and Stochastic Calculus. 3rd edn. De Gruyter, Berlin 2021. ISBN: 978-3-11-074124-4.
    [Zur hompage des Buchs]
  • (textbook) Williams: Probability with Martingales. Cambridge University Press, Cambridge 1991.  ISBN: 978-0-521-40605-5.
• Online material via OPAL

© Robert Lohse

Name

Prof. Dr. René Schilling

Send email

Send encrypted email via the SecureMail portal (for TUD external users only).

Contact Information

Organization Name

Institute of Mathematical Stochastics

Institute of Mathematical Stochastics

Address work

Visiting address:

Bürogebäude Z21, room 326.2 Zellescher Weg 25

01217 Dresden

Show map of this location.

work Tel.

fax Fax

+49 351 463-37251