- Lecturer
- Prof. Dr. Dylan Possamaï (dylan.possamai
~~(AT)~~math.ethz.ch)

- Coordinator
- Daniel Kršek (daniel.krsek
~~(AT)~~math.ethz.ch)

- Exercise Classes

Fri 8-9 | HG G 26.5 | Daniel Kršek |

Fri 9-10 | HG G 26.5 | Daniel Kršek |

Fri 12-13 | HG G 26.3 | Philémon Bordereau |

- Course Catalogue 401-3642-00L Brownian Motion and Stochastic Calculus

401-3642-DRL Brownian Motion and Stochastic Calculus

- Lecture notes Polybox link

Familiarity with measure-theoretic probability as in the standard D-MATH course 401-3601-00L Probability Theory is assumed.

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.

Lectures and exercise classes are for a great majority scheduled to be in-person (neither recorded nor live-streamed). A few lectures and exercise sessions during the semester may be either via Zoom or pre-recorded, but you will be notified in advance when this happens.

Lecture notes covering the material addressed during the lectures will be made available through Polybox. Please note that the content of the notes often goes beyond that of the lectures, though only the material covered in class and during the exercise sessions is exigible.

The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercise classes taught by the professors in the group. Click here for more information.

Even though it is not obligatory, you are strongly encouraged to solve the exercises and hand in your solutions since similar assignments may be a part of the exam. If you decide to do so, please submit your solutions before 18:00 of the corresponding due date (typically on Monday). They will then be corrected and returned. Please upload your solutions as a single PDF file named {email address}_{assignment number}.pdf (e.g. student@ethz.ch_1.pdf) using the following form:

# | Exercise Sheet | Due Date | Solutions |
---|---|---|---|

0 | Assignment 0 | --- | Solutions 0 |

1 | Assignment 1 | Monday, March 6 | Solutions 1 |

2 | Assignment 2 | Monday, March 13 | Solutions 2 |

3 | Assignment 3 | Monday, March 20 | Solutions 3 |

4 | Assignment 4 | Monday, March 27 | Solutions 4 |

5 | Assignment 5 | Monday, April 3 | Solutions 5 |

Easter Friday | |||

Easter break | |||

6 | Assignment 6 | Monday, April 24 | Solutions 6 |

7 | Assignment 7 | Monday, May 1 | Solutions 7 |

8 | Assignment 8 | Monday, May 8 | Solutions 8 |

9 | Assignment 9 | Monday, May 15 | Solutions 9 |

10 | Assignment 10 | Monday, May 22 | Solutions 10 |

11 | Assignment 11 | Monday, May 29 | Solutions 11 |

12 | Assignment 12 | Monday, June 5 | Solutions 12 |