Stochastic Processes 1
WS 2012 / 2013
(LV-Nr. 3236 L 240 / 241)
- (01.03.2013) Maites extra
office hours can be found in the section "team"
below (where you used to find the regular one, too).
- (11.02.2013) Due to the "Einführung
in die Vertiefungsrichtungen" taking place this afternoon
(MA 001 at 16h ) Maites office hour has to be
spontaneously moved to 17h-18h30. There
will be an additional office hour on Friday (15th) 16h-18h.
- (08.02.2013) a) The certificate of attendance
("Schein") can be picked up at Ms Willmers' office (MA 774)
during office hours (Mon, Tue, Thu, Fri 9h30-11h).
b) Students taking an exam in March
must hand in their "yellow form" at Ms Willmers'
office on the Wednesday preceeding the week of you
examination. (Non-TU BMS students please confirm
attendance to Maite instead.) Otherwise you will be deleted
from the list and your slot will be freed for other
c) If you want to take the exam in March, but did not
get a date anymore, please contact
Prof. König by February 15th. We will not be
able to accomodate later requests.
- (07.02.2013) An older version of the 15th Assignment
was uploaded by mistake. The correct version is now online.
However, all students who have tried, have succeded in obtaining
the necessary score with the 14th Assignment.
- (06.02.2013) The doodle for the dates in March is now
available here: http://www.doodle.com/2vam76wtrwb5kwqp
. There will be more offers of dates for oral examinations for
the last week of April via Doodle (but not earlier in April).
All future examinations from May on will be planned by
Also, there is a 15th Assignment with additional points online.
- (30.01.2013) Maites office hours will not take place
on Monday, February 4th (16h-18h).
- (23.01.2013) Information on our co-correctors is now
available in the section "team"!
- (21.01.2013) Prof. König has summarised some advice and
recomendations for the oral exams for you.
- (16.01.2013) For the week February 18th-22nd,
there are now 24 dates available for an oral examination. The
inscription will be done through a doodle. The link to it,
detailed information on the procedure and further dates for
exams can be found below in the section "exam".
- (11.01.2013) a) The space in Assignment 11.3 is such
that the types of convergence are well-defined. A new version is
b) Assignment 9 by group 4 seems to have
disappeared. Please check if you took it accidentally when
picking up your own homework on Wednesday!
- (19.12.2012) A new version of the lecture notes
on martingales is available online now!
- (12.12.2012) For all Master (and Bachelor) students
who might be interested in financial applications: There will be
an open house at the risk management center of the Deutsche
Bank! Deadline for applications is January 1st and you can find
more information here.
- (12.12.2012) a) The tutorial on Thursday, December
13th, will start at 16h30 (and thus end at 18h).
b) There will be a goodwill regulation for the points
needed in the 1st half of the semester. Groups with 65
points (or more) will be allowed to continue, but will have to
make up for the points missing for the full 70 twice
in the 2nd half!
- (26.10.2012) A big "thank you" to our great admins who have
finally managed to restore my computer after it crashed this
morning so I can give you a corrected version of the 2nd
assignment. Note that there was also a typo in the theorem
preceding assignment 2.5. I apologise and hope you still
have a great week-end. (Please spread the word.)
- (26.10.2012) Please note a change in the formulation of the assignment
2.3: You are to use measure-theoretic induction, but not
necessarily Theorem 6.4.11. However, you may use the theorem, if
you are able to explain each step using your knowledge from a
- (22.10.2012) a) For simplicity, you may assume the
sigma-algebra in assignment 1.1.iii) to be the power-set
b) Independently of your choice of tutorial, the
assignments are to be handed in before or after the tutorials on
(There will be, however, an exception for the 1st assignment.
You can hand this in on Thursday, too, provided this is the
tutorial you attend.)
- (20.10.2012) As announced, a third tutorial will take place
each week on Thursday, 16h-18h in the MA 376. If you can
attend this class, I recommend you do so. The language of the
tutorial will be determined in class.
- (20.09.2012) Please note that the first sections of Chapter 6
of the lecture notes "Wahrscheinlichkeitstheorie 1&2"
(see literature references below) are assumed to be known
to everybody, asi they were part of the class
"Wahrscheinlichkeitstheorie 1". More precisely, it is Section
6.1 and Section 6.2 up to but not including Theorem 6.2.7. You
can find a problem sheet on this topic here.
It is highly recommended, but not necessary to take a look at
- (12.09.2012) "Welcome to the class "Wahrscheinlichkeitstheorie
2", resp. "Stochastic Processes 1". As this year it is part of
the BMS curriculum it will be taught in English! It consists of
two lectures and one tutorial per week. We will offer (at least)
two tutorials, of which only one needs to be attended, since
they will only differ in the language they are taught in. One
will be in English and one in German. Of course, there will be
weekly assignments that have to be completed to be admitted to
the final exam.
For further details please check the corresponding sections
below (that will be filled with more information during the
Looking forward to the upcomming semester - Maite."
"Willkommen zur "Wahrscheinlichkeitstheorie 2", bzw. "Stochastic
Processes 1". Die Veranstaltung besteht aus zwei Vorlesungen und
einer Übung pro Woche. Es wird zwei Termine für die Übungen
geben, von denen aber nur einer besucht werden muss, da sie sich
sich nur in der Unterrichtssprache unterscheiden. Wie gewohnt
wird es wöchentliche Hausaufgaben als Voraussetzung zur
Zulassung zur Modulprüfung geben.
Genauere Angaben finden sich (demnächst) unten.
Ich freue mich auf das neue Semester - Maite."
Dr. W. König
|| by appointment
| koenig "at"
||(030) 203 72547 (WIAS)
(030) 314 29383 (TU B)
| M. Wilke
|(030) 314 25167
|salvi "at" math.tu-berlin.de
riedel "at" math.tu-berlin.de
Maite offers special office hours for
the exams: (please check dates regularly as they might need to
|Friday, February 15th
|Monday, March 4th
|Friday, March 15th
|Tuesday, March 19th
| 8h - 10h
8h - 10h
| MA 043
| MA 649
The lectures are taught in English.
of all three tutorials will be identical, therefore it is
only necessary to attend one of them. Most likely, the
first will be in English and the second in German. The language
of the third will be determined in class.
You are free to choose your tutorial and there is no need to
sign up for it.
A new problem-sheet will be found here every week.
The homework is to be handed in in fixed groups of two to three -
preferably three - students before or after the tutorials on
Wednesday. To be admitted to the exam you will have to
obtain at least 50% of the total possible score in each half of
Extra points can be obtained by doing the 15th Assignment.
The exam will be in oral form.
Below you can find the doodles for the exams in February and March.
March: http://www.doodle.com/2vam76wtrwb5kwqp Remember to frop the yello form at Ms Willmers'
office (MA 774) on the Wednesday preceeding the week of your
examination.(Non-TU and BMS students, please contact
All slots are now filled. If you still need an examination date in
March, please contact Prof. König by February 15th!
There will be more offers of dates for oral examinations for the
last week of April via Doodle (but not earlier in April). All future
examinations from May on will be planned by individual
The examination will be done in English or in German, according to
the examinee's wish.
has summarised some advice and recomendations for the oral
exams for you:
|The orals in Probability 2 are based on the
lecture notes used and comprise all the material of the
lecture and the exercises, but not the parts that were
|The parts that were skipped are the
moment problems (Kor. 8.3.5 until Bsp. 8.3.9)
Satz 8.3.22 until the end of Chap. 8
proof of Satz 10.1.14, until excluding Bsp. 10.1.16
notion of mixing, i.e., Def. 10.2.9 until Lemma 10.2.11
|Unlike in homeworks or in written exams,
the main weight will be put in the orals on understanding
and explaining the matter and the connections and relation
between them. Short proofs or surveys of lengthy proofs
may be required as well.
|Your oral explanations should meet high
precision standards and must be well understandable. (If
not, the examinator must inquire, and then the examinee's
nerves usually start jittering.) In particular, you must
make a clear distinction between objects like probability
measures, random variables, distribution functions and
probabilities, to give an example. Furthermore, the
examinator would like to hear full sentences, where
appropriate. (Example: On the question "What is the
Poisson distribution?", one should not restrict to writing
down a formula, but one should also say something like
"This is the distribution on the non-negative integers
that has these constituent probabilities here.")
| If you formulate a somewhat technical
assertion (e.g., a mathematical formula), then you write
it down on paper.
|Questions may be formulated by the
examinator in a somewhat diffuse way by purpose. Then you
have the opportunity to direct the exam into the direction
of your choice; several good answers may be possible.
The lecture is based on the lecture notes "Wahrscheinlichkeitstheorie
1&2" by Prof. König (Chapters 6-8 and 10-11).
(Note that this is the new version from July 19th 2012.
However, the corrections concern mainly the part corresponding to
the lecture "Wahrscheinlichkeitstheorie 1" and the format.)
For the topic of Martingales you can refer to the first chapter
of lecture notes "Stochastische
Prozesse II". (This will be topic will be inserted between
Chapter 7 and Chapter 8 of the lecture notes
The lecture notes are available exclusively in German.