Brownian Motion and Stochastic Calculus Spring 2023

Prof. Dr. Dylan Possamaï (dylan.possamai(AT)
Daniel Kršek (daniel.krsek(AT)
Tue 8-10 HG E 3
Thu 8-10 HG E 3
Exercise Classes
Start from the second week of semester
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
Disclaimer: Lecture notes may be extended or modified throughout the semester without further warning.


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.

Course organisation

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.

Office hours

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