Probability and Stochastic Analysis - University of Bonn
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Prof. Dr. Anton BovierKaveh 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. 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.
    . Graduate
    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 0.008 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.

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

 

TBA


Exams 

 

TBA