- Lecturer
- Wendelin Werner
- Coordinators
- Zhouyi Tan

- Lectures
- Wed. 08-10 @ HG G 3
- Thu. 10-12 @ HG D 7.2
- First lecture
- Wed. 20.02.2019
- First exercise class
- Fri. 22.02.2019
- Course Catalogue
- 401-3642-00L Brownian Motion and Stochastic Calculus

[24.05.2019] Solution 12 posted. Enjoy the summer!

[24.05.2019] Solution 11 posted.

[23.05.2019] Exercise sheet 12 posted.

[21.05.2019] Solution 10 posted.

[16.05.2019] Exercise sheet 11 posted, Solution 9 posted.

[09.05.2019] Exercise sheet 10 posted.

[02.05.2019] Exercise sheet 9 posted.

[28.04.2019] Solution 8 posted.

[16.04.2019] Solution 7 posted.

[11.04.2019] Exercise sheet 8 posted.

[07.04.2019] Solution 6 posted.

[04.04.2019] Exercise sheet 7 posted.

[02.04.2019] Solution 5 posted.

[02.04.2019] Solution 5 posted.

[28.03.2019] Exercise sheet 6 posted.

[24.03.2019] Solution 4 posted.

[21.03.2019] Exercise sheet 5 posted.

[15.03.2019] Solution 3 posted.

[14.03.2019] Exercise sheet 4 posted.

[11.03.2019] Solution 2 posted.

[07.03.2019] Exercise sheet 3 posted.

[02.03.2019] Solution 1 posted.

[28.02.2019] Exercise sheet 2 posted.

[21.02.2019] Lecture notes available. An email containing the password has been sent to all the enrolled students.

[20.02.2019] Exercise sheet 1 posted.

This course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, ItÃ´'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).

Lecture notes are available here .

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

Exercise sheet | Due by | Solutions |
---|

Time | Room | Assistant | Students (last name) |
---|---|---|---|

Fri. 08-09 | HG G 26.5 | Zhouyi Tan | Ahm -- Hou |

Fri. 09-10 | HG G 26.5 | Matti Kiiski | Hub -- Pro |

Fri. 12-13 | HG G 26.5 | Yilin Wang | Rod -- Zub |

- 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). Online Version via NEBIS.
- D. Revuz, M. Yor: Continuous Martingales and Brownian Motion, Springer (2005). Online Version via NEBIS.
- 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). Online Version via NEBIS.