Introduction to Stochastic Analysis
|Start of the lecture:||October 10, 2017,|
|Place:||CP1-HSZ / Hörsaal 7,|
|Time:||Tuesday 8 - 10,|
Friday 10 - 12.
The lecture notes for this course can be found here.
- L.C.D. Rogers and D. Williamson, Diffusions, Markov processes and martingales. Vol. 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.. GraduateTexts in Mathematics. Springer, New York, 1988.Brownian motion and stochastic calculus. GraduateTexts in Mathematics. Springer, New York, 1988.
|Exercise Classes:||1.) Monday 8 - 10 in room 0.008 in the MZ,|
2.) Monday 10 - 12 in room 0.008 in the MZ,
3.) Wednesday 10 - 12 in room 0.008 in the MZ,
4.) Thursday 12 - 14 in room 0.008 in the MZ.
|Start of the exercise classes:||In the second week of the lecture period,|
|Collection of the exercise sheets:||Fridays before the lecture.|
- 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.