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StochastischeIntegrale ¨Ubungsblatt13 WahrscheinlichkeitstheorieII ¨UbungenzurVorlesung

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L¨ohr/Winter Wintersemester 2011/12

Ubungen zur Vorlesung ¨ Wahrscheinlichkeitstheorie II

Ubungsblatt 13¨

Stochastische Integrale

Aufgabe 13.1. (6 Punkte)

(a) Berechne Z T

0

Bt2 dBt.

(b) Berechne Z T

0

eBt dBt.

Aufgabe 13.2. (6 Punkte)

Benutze die Itˆo-Formel, umE(Btn) f¨ur n∈Nund t >0 zu berechnen.

Auf Wunsch werden in der ¨Ubung am 31.01. Aufgaben aus der Probeklausur besprochen.

Abgabe bis Di, 31.01. am Anfang der ¨Ubungsstunde Klausur: Do, 02.02., 10.15

Arbeitsgruppenvortr¨age:

Am 24.01. (heute) gibt Wolfgang L¨ohr (Universit¨at Duisburg-Essen) einen Vortrag ¨uber Aspects of Gromov-Weak Topology on the Space of Metric Measure Spaces Am31.01.gibt Volker Kr¨atschmer (Universit¨at Duisburg-Essen) einen Vortrag ¨uber

Qualitative robustness of tail dependent statistical functionals

Hierzu ergeht eine herzliche Einladung. Zeit:Di, 16.15 – 17.15. Raum: T03 R04 D10

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