|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:
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.
February 04, 2019 - February 08, 2019
March 18, 2019 - March 22, 2019