Probability and Stochastic Analysis - University of Bonn

Prof. Dr. Anton BovierKaveh Bashiri


Introduction to Stochastic Analysis
Wintersemester 2017/2018



Start of the lecture:               October 10,  2017,                                        

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.


  • 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.

 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