Stochastics II

Prof. Dr. Henryk Zähle

Tristan Bergmann, MSc.

Winter Term 2022/2023

Please contact  Tristan Bergmann if you have any questions about this course.


Stochastics I, and basic lectures in analysis and linear algebra (e.g. Analysis 1-3, Linear Algebra 1-2).

This course is intended for students of Mathematics or Mathematics & Computer Science. Participation in the course requires a basic education in mathematics and a profound knowledge in measure theoretic probability theory (as is taught in the course Stochastics I).


The course will be held in English unless all participants speak German.


Tuesday and Thursday, 10-12 am, in Seminar Room 6 in Building E 2.4


Wednesday, 12:00-14:00, in Seminar Room 8 in Building E 2.4.


There will be weekly assignments.


At the end of the term, there will be an oral exam.

Course material

Course material will be made available on Moodle. The enrolment key for the Moodle section of the course will be available in the first lecture.


  • Conditioning on σ-algebras (conditional expectations, conditional distributions)
  • Basic concepts of stochastic processes
  • Kolmogorov’s extension theorem
  • Poisson processes
  • Gaussian processes
  • Brownian motion
  • Markov processes
  • Martingales