Stochastic Analysis 2010

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Sanjib Sabhapandit - Introduction to stochastic processes (1)

Final exam: Dates: Mo Organization of classes: Michele Salvi , Katja Miller Bonus system: Your homework will be corrected and rated with points. Through the continuous participation in the exercise course you can receive a bonus on your exam grade.

Improving the grade 1. This bonus counts only for the two exams corresponding to this lecture.

To top. Start: 17th October Noam Berger. Martingales in continuous time, Brownian motion: construction and properties, Donsker's invariance principle, Stochastic integrals, Ito's formula, stochastic differential equations, Girsanov's theorem.


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Michele Salvi , Katja Miller. Your homework will be corrected and rated with points. Sheet 1. Sheet 2.

Stochastic Analysis and Optimization of Multiserver Systems

Sheet 3. Sheet 4. It seems that you're in Germany. We have a dedicated site for Germany. In a workshop held in Paris, June several prominent researchers gave exciting talks in honor of his 60 th birthday.

Theory of Stochastic Processes

The present volume includes scientific contributions from this workshop. Probability theory is first and foremost aimed at solving real-life problems containing randomness. Markov processes are one of the key tools for modeling that plays a vital part concerning such problems.

Table of contents

Contributions on inventory control, mutation-selection in genetics and public-private partnerships illustrate several applications in this volume. Stochastic differential equations, be they partial or ordinary, also play a key role in stochastic modeling.


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  8. Two of the contributions analyze examples that share a focus on probabilistic tools, namely stochastic analysis and stochastic calculus. Three other papers are devoted more to the theoretical development of these aspects. The volume addresses graduate students and researchers interested in stochastic analysis and its applications.