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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,
Endenicher Allee 19c

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.

    . 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 0.006 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,

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

 

 

 

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!