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19300-01 - Lecture with practical courses: Random processes: Theory and applications from physics to finance 4 CP

Semester fall semester 2018
Course frequency Every fall sem.
Lecturers Jörg Lehmann (, Assessor)
Content Basics of probability theory; Random processes: General concepts; Markov processes: Master equation, Fokker-Planck equation, stochastic differential equations; Mathematical finance
Learning objectives Basics of the theory of stochastic processes and an overview of selected applications
Bibliography - N. G. van Kampen, Stochastic Processes in Physics and Chemistry, 3rd ed. (North Holland, Amsterdan, 1992).
- C. W. Gardiner, Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences, 2nd ed. (Springer, Berlin, 2007).
- P. Wilmott, S. Howison and J. Dewynne: The Mathematics of Financial Derivatives, A Student Introduction (Cambridge University Press, Cambridge, 1995).


Language of instruction German
Use of digital media No specific media used
Course auditors welcome


Interval weekly
Date 19.09.2018 – 19.12.2018

No dates available. Please contact the lecturer.

Modules Module Specialisation: Physics (Master's Studies: Nanosciences)
Module: Specialisation: Physics (Master's Studies: Physics)
Vertiefungsfächer Theorie und Vertiefungsfächer Biologie (Master's Studies: Computational Biology and Bioinformatics)
Assessment format continuous assessment
Assessment registration/deregistration Reg.: course registration, dereg: cancel course registration
Repeat examination no repeat examination
Scale 1-6 0,5
Repeated registration as often as necessary
Responsible faculty Faculty of Science,
Offered by Departement Physik