Prof. Dr. Anton Bovier, Kaveh Bashiri

**Introduction to Stochastic Analysis**

**Wintersemester 2017/2018**

**Lecture**

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

Place: | CP1-HSZ / HĂ¶rsaal 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.. GraduateTexts in Mathematics. Springer, New York, 1988.Brownian motion and stochastic calculus. GraduateTexts 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. |

CAUTION: The rooms of the tutorials 1) and 2) and 4) has been changed!!!

**Allocation into the tutorials **

Note that this list is not official. Hence, it is not a problem, if I misspelled your name. And if you changed your mind and you want to switch into an other group, then you have to contact the respective tutors and see whether there is enough places in his or her group. You find their mail addresses on top of the group lists. These are the groups:

Group 1 room has been changed to 0.006

Group 2 room has been changed to 0.006

Group 3

Group 4 room has been changed to 1.007

**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

Sheet 0, to be solved in the first tutorials,

Sheet 1, due on October 20,

Sheet 2, due on October 27,

Sheet 3, due on November 3, Typo in exercise 2 2. has been corrected!

Sheet 4, due on November 10,

Sheet 5, due on November 17,

Sheet 6, due on November 24

**Exams**

TBA