|Start of the lecture:||October 09, 2018,|
|Time:||Tuesday 12 - 14,|
Thursday 12 - 14.
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.
- T. M. Liggett, Continuous Time Markov Processes: An Introduction
- Ioannis Karatzas and Steven E. Shreve. Brownian motion and stochastic calculus.
Texts in Mathematics. Spring Ier, New York, 1988. in Math
ematics. Springer, Ne24York, w 88.. GraduateTexts in Mathematics. Springer, New York, 1988.Brownian motion and stochastic calculus. GraduateTexts in Mathematics. Springer, New York, 1988.
Time and date of the Exercise Classes:
1.) Wednesday 8 - 10 in room N.008 in the MZ,
2.) Wednesday 16 - 18 in room N.008 in the MZ.
Start of the exercise classes:
October 24. However, there is an additional tutorial at October 17, from 8 - 10 in room N.008.
The aim of this tutorial is to answer questions concerning the lecture. So if you have a question, then you should, prior to the tutorial, write the tutor and email, and he will answer this question during the tutorial. This is his email address. Especially those who did not attend the lectures "Stochastic processes" or "Foundations in Stochastic Analysis" are recommended to visit this additional tutorial and to ask questions.
Collection of the exercise sheets:
Tuesdays before the lecture.
- 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.
The examination will be oral.