Brownian Motion and Stochastic Calculus Spring 2020

Wendelin Werner
Matthis Lehmkuehler
Online Lectures
Course catalogue


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, Itô'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. Below are some textbooks covering this topic.

Lecture notes

The lecture notes can be found here (the password will be mentioned in the first lecture).


Lectures will be recorded and published weekly on the Videoportal. The password will be communicated in an email.


Every week a new exercise sheet will be posted on this site by Thursday. The exercise sheet will be discussed in the following week in the online exercise class. If you would like your work to be corrected, submit your solutions via the SAMUp Tool to your assistant (you will need to use VPN to access this site). Corrected answers will be returned via the same page.

Exercise sheet Due by Solutions
- - -

Exercise classes

The exercise classes by Daniel Contreras Salinas, Maximilian Nitzschner and Matthis Lehmkuehler which used to happen on Fridays at 8 a.m., 9 a.m. and 12 a.m. respectively, do not take place anymore. Instead we will upload a video to this folder each week instead (the password is the same as for the lecture notes).


To ask questions about the course content or other things related to the course, we have set up a Forum and would like to encourage you to sign up and make use of it as asking questions in the digital exercise class format is not possible.


The following is a selection of excellent books on the subject.

These books are also available in the mathematics library.