Applied Stochastic Processes Spring 2023

Vincent Tassion
Laurin Köhler-Schindler


Stochastic processes are a way to describe and study the behaviour of systems that evolve in some random way. In this course, the evolution will mostly be with respect to a scalar parameter interpreted as time, so that we discuss the temporal evolution of the system. We introduce several important classes of stochastic processes, analyse their properties and behaviour and show by some examples how they can be used. The main emphasis is on theory; in that sense, "applied" should be understood to mean "applicable".

Outline of the course:


Prerequisites are familiarity with (measure-theoretic) probability theory as it is treated in the course "Probability Theory" (401-3601-00L).

Lecture Notes

Lecture notes will be regularly updated.

In addition, here are the slides of the first lecture:


Lectures take place each Tuesday from 10:15 to 13:00 in NO C 60. Exercise classes take place on Wednesdays or Thursdays as indicated below. The enrolment takes place via mystudies.

If you have any questions related to the content of the lectures or the exercises, you are very welcome to ask them on the forum.


The new exercises will be posted here every week on Tuesday. We recommend to look at the problems and try to solve the quiz before the exercise classes on Wednesday or Thursday.

Exercise sheet Due by Solutions
Exercise sheet 1 February 28 Solution 1
Exercise sheet 2 March 7 Solution 2
Exercise sheet 3 March 14 Solution 3
Exercise sheet 4 March 21 Solution 4
Exercise sheet 5 March 28 Solution 5
Exercise sheet 6 April 4 Solution 6
Exercise sheet 7 April 18 Solution 7
Exercise sheet 8 April 25 Solution 8
Exercise sheet 9 May 2 Solution 9
Exercise sheet 10 May 9 Solution 10
Exercise sheet 11 May 16 Solution 11
Exercise sheet 12 May 23 Solution 12
Exercise sheet 13 May 30 Solution 13
Exercise sheet 14 No submission Solution 14


You are welcome to submit your solutions, even though it is not oligatory. In case you decide to submit your solutions, please submit them as a hard copy right before the beginning of the lecture (i.e. before 10:15 on the corresponding due date. Your solutions will then be corrected and returned during the exercise classes or the next lecture.

Exercise classes

First exercise class: Wednesday, February 22, or Thursday, February 23

Time and location:

Wednesday, 13:15-14:00ML H 41.1 Laurin Köhler-Schindler
Thursday, 12:15-13:00HG G 26.5 Ritvik Radhakrishnan