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. |

**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,

Sheet 7, due on December 1,

Sheet 8, due on December 8,

Sheet 9, due on December 15,

Sheet 10, due on December 22, Important remark was added in exercise 3!

Sheet 11, due on January 12,

Sheet 12, due on January 19,

Sheet 13, due on January 26

**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, 12 - March, 16

Registration for a time slot: TBA