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Introduction to Stochastic Analysis, WS 2012/13

ScheduleTuesday 08-10 (Zeichensaal) and Friday 10-12 (LWK 1.008)
Exercices Group 1: Wednesday 16-18; N0.007
Group 2: Friday 12-14: N0.003
Tutor: Raphael Zimmer
Assistant: Nicola Kistler (LWK 3.042)
ExaminationOral examination in the Room LWK 3.047, schedule and further informations.
Second examinationOral examination in the Room LWK 3.047, schedule and further informations.
Language: can be freely chosen between German and English (decide before starting the language you want to use).
Admission: 50% of the exercices points

Content

  • Brownian Motion: the fil rouge of this lecture
  • Stopping times and continuous martingales
  • Semimartingale
  • Itô integral
  • Itô formula and applications
  • Transformations of the Brownian Motion: Girsanov, Feynman-Kac formulas
  • Stochastic differential equations (strong solutions)

References