Advanced Probability Theory
Module MA2411
This module handbook serves to describe contents, learning outcome, methods and examination type as well as linking to current dates for courses and module examination in the respective sections.
Basic Information
MA2411 is a semester module in German or English language at Master’s level which is offered once.
This module description is valid from WS 2010/1 to WS 2010/1.
| Total workload | Contact hours | Credits (ECTS) |
|---|---|---|
| 150 h | 45 h | 5 CP |
Content, Learning Outcome and Preconditions
Content
- Conditional expectations.
- Martingales: inequalities, convergence theorems, optional stopping theorem.
- Brownian motion.
- Martingales: inequalities, convergence theorems, optional stopping theorem.
- Brownian motion.
Learning Outcome
At the end of the module students are able to understand and apply martingale theory and the basic theory of the Brownian motion.
Preconditions
MA1001 Analysis 1, MA1002 Analysis 2, MA2003 Measure and Integration, MA1401 Introduction to Probability Theory, MA2408 Probability Theory
Courses, Learning and Teaching Methods and Literature
Learning and Teaching Methods
Vorlesung, Übung, Übungsaufgaben zum Selbststudium
Media
Semesterapparat, Tafelarbeit, Übungsblätter
Literature
Rick Durrett: Probability: Theory and Examples, Duxbury advanced series, third edition, 2005.
Achim Klenke: Probability Theory: A Comprehensive Course, Springer, 2008.
Achim Klenke: Probability Theory: A Comprehensive Course, Springer, 2008.