Winter Term 2026/2027

lecture Prof. Dr. Nicolas Perkowski, exercise joint with Carlos Villanueva Mariz

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Time and place

•  Lecture:  Mondays, 10:00 - 12:00h, HS 001, Arnimallee 3, 
                   Thursdays, 08:00 - 10:00h, HS 001, Arnimallee 3 

• Exercise Session: TBD.

• Final Exam:  TBD.
• Follow-up Exam:  TBD.

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Prerequisits: Stochastics I und Analysis I — III.

Assessment

To receive credits fo the course you need to

• regularly and actively participate in the exercise sessions (presence in at least 75% of tutorials is required) 
• work on and successfully solve the weekly classroom exercises (solve 40% of the exercises) 
• pass the final exam (see above)

If you are an FU student you only need to register for the course via CM (Campus Management).
If you are not an FU student, you are required to register via MyCampus/Whiteboard.

Exercises 

Problem sets will be put online under Assignments in Whiteboard. Solutions (in groups of two!) can be submitted in the tutorial of the following week. Completing the homework exercises is strongly recommended. It is no requirement for credits. 

Course Overview/ Content:

• Construction of stochastic processes;
• conditional expectation;
• martingales in discrete time: convergence, stopping theorems, inequalities;
• convergence types in stochastics;
• uniform integrability;
• Markov chains in discrete and continuous time: recurrence and transience, invariant measures;
• convergence in distribution of stochatic processes;
• Brownian motion and invariance principle.

References

• Klenke: Wahrscheinlichkeitstheorie
• Durrett: Probability. Theory and Examples.

Further literature will be given during the lecture.

Lecture videos
can be found on the website of Stochastics II from Summer Term 2020.