Brownian Motion and Stochastic Calculus Spring 2018

Wendelin Werner
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.


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

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)

Friday 08-09HG E 21 Martin Stefanik Al-Fr
Friday 09-10HG E 21 Martin Stefanik Ga-Lag
Friday 08-09 LFW E 13 Mayra Bermudez Lan-Sche
Friday 12-13HG E 22 Yilin Wang Scho-Zim
These books are available in the mathematics library.