Prof. Dr. Anton Bovier, Kaveh Bashiri

**Introduction to Stochastic Analysis**

**Wintersemester 2017/2018**

**Lecture**

Start of the lecture: | October 10, 2017, |

Place: | CP1-HSZ / Hörsaal 7, |

Time: | Tuesday 8 - 10, Friday 10 - 12. |

**Lecture notes**

The lecture notes for this course can be found here.

**References**

- L.C.D. Rogers and D. Williamson,
*Diffusions, Markov processes and martingales. Vol. 1+2.* - Philip Protter,
*Stochastic Integration and Differential Equations*. - Ioannis Karatzas and Steven E. Shreve.
*Brownian motion and stochastic calculus*.Texts in Mathematics. Springer, New York, 1988. in Mathematics. Springer, New York, 1988.

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Texts in Mathematics. Springer, New York, 1988.

Brownian motion and stochastic calculus

. Graduate

Texts in Mathematics. Springer, New York, 1988.

**Exercise Classes**

Exercise Classes: | 1.) Monday 8 - 10 in room 0.006 in the MZ, 2.) Monday 10 - 12 in room 0.006 in the MZ, 3.) Wednesday 10 - 12 in room 0.008 in the MZ, 4.) Thursday 12 - 14 in room 1.007 in the MZ. |

Start of the exercise classes: | In the second week of the lecture period, |

| Fridays before the lecture. |

**Admission criteria **

- Each group can consist of maximally 3 persons,
- Each group needs to obtain at least 50% of all the points,
- Each group has to submit at least 90% of all the exercise sheets.

**Exercise Sheets**

**Exams**

The examination will be oral.

*First attempt:*

-Time: February, 5 - February, 13

-Place: Room 3.037 in the MZ

-Registration for a time slot: Friday, January 12, during the lecture.

-2nd chance: For those, who did not make it to the registration, please come to the office of Mrs. Wang (3.036 in the Mz) at Tuesday, January 16 between 10-11:30 or 14-15.

-**3rd chance: Friday, January 19, 9:30-10, room 3.039. There are still people, who did not come to the registration!** Please note that you have to register for a time slot, even if you only plan to do the second exam! In that case, we give you an imaginary exam date, but we need your sign.

-The final schedule for the exam can be found here.

*Second attempt:*

-Time: March, 15 - March, 16

-Place: Room 3.037 in the MZ

-Registration for a time slot: Please come to the office of Mrs. Wang (3.036 in the Mz) at one of the following times:

February, 16; 14:00-15:30,

February, 20; 9:30-11:30,

February, 21; 9:30-11:30,

February, 26; 9:30-11:30,

February, 28; 9:30-11:30.

Please note that the examiners are limited to this two days. Hence, if you also have a full agenda than please come to the registration as soon as possible in order to make sure that you get a suitable time slot for your exam. The earlier you come, the more options you have!