Brownian Motion and Stochastic Calculus Spring 2021

THIS IS THE PUBLIC ACCESS WEBSITE OF THE COURSE.

HERE IS THE LINK TO THE RESTRICTED ACCESS WEBSITE OF THE COURSE. Log in with your ETH ID and password - access is restricted to those students who are enrolled in the course.

Lecturer
Wendelin Werner
Coordinator and assistant
Matthis Lehmkuehler
Teaching assistant
Harprit Singh

Content

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.

Prerequisites

Familiarity with measure-theoretic probability as in the standard D-MATH course Probability Theory will be assumed. See for instance:

Format

Until the easter break (at least), this course will be delivered online.

Each week, the following material will be posted on the restricted access website:

Also, there will be some live sessions on Zoom, not recorded:

Finally, there is a Forum were questions about the course can be discussed.

LINKS TO ALL THIS CAN BE FOUND ON THE THE RESTRICTED ACCESS WEBSITE OF THE COURSE. Log in with your ETH ID and password - access is restricted to those students who are enrolled in the course.

Literature

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