Lecturer

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

Coordinator

Antonio Marini (antonio.marini(AT)math.ethz.ch)

Lectures

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	Patrick Edera
Fri 9-10	HG G 26.5	Antonio Marini

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.

Prerequisites

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

Content

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.

Exercises

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: