Probability and Stochastic Analysis - University of Bonn

Introduction to Stochastic Analysis, WS 2014/15

ScheduleTuesday 08-10 and Friday 10-12 (Zeichensaal)
Exercices Assistant: Peter Nejjar (LWK 3.046)

Admission critetia: 50% of the exercices points. (The exercises are relevant for the exam).
First examination schedule: here.
Second examination: March 30-31: schedule here.


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