- 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

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.

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).

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).