Lecturer

Wendelin Werner

Coordinator

Yilin Wang

Time and location

Wednesdays 08:15-10:00 in HG G 3, Thursdays 10:15-12:00 in HG D 7.2

Course abstract

This course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.

Prerequisites

Familiarity with measure-theoretic probability as in the standard D-MATH course "Probability Theory" will be assumed. Textbook accounts can be found for example in

• - J. Jacod, P. Protter, Probability Essentials, Springer (2004).
• - R. Durrett, Probability: Theory and Examples, Cambridge University Press (2010).

Lecture Notes

The access to the lecture notes requests a password that is communicated to registered students.

The new exercises will be posted here before Thursdays. The exercises will then be discussed during the exercise class. If you want your exercises being corrected, please hand in your solutions during the exercise class of the week after or in your assistant's tray located in the hallway in front of HG E 65 by Thursday evening.

exercise sheet	due by	solutions

First exercise class: Friday Feb. 23.

Office hours ("Praesenz''): Mondays and Thursdays 12:00 - 13:00 in HG G 32.6. See the webpage of Group 3.

Time and places: (provisional)

time	room	assistant	students
Friday 08-09	HG E 21	Martin Stefanik	Al-Fr
Friday 09-10	HG E 21	Martin Stefanik	Ga-Lag
Friday 08-09	LFW E 13	Mayra Bermudez	Lan-Sche
Friday 12-13	HG E 22	Yilin Wang	Scho-Zim

• - J.-F. Le Gall: Brownian Motion, Martingales, and Stochastic Calculus, Springer (2016). Online Version via NEBIS.
• - I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus, Springer (1991).
• - D. Revuz, M. Yor: Continuous Martingales and Brownian Motion, Springer (2005).
• - L.C.G. Rogers, D. Williams: Diffusions, Markov Processes and Martingales, vol. 1 and 2, Cambridge University Press (2000).
• - D.W. Stroock, S.R.S. Varadhan: Multidimensional Diffusion Processes, Springer (2006).

These books are available in the mathematics library.