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Introduction to Stochastic Analysis, WS 2015/16

Tuesdays 8.25-10.00 and fridays 10.15-12.00, Zeichensaal, Wegelerstr. 10

Lecture Course: Andreas Eberle

Problem sheets: Raphael Zimmer

Tutorials: Tu 16-18, N0.007, Maximilian Fels, Th 8-10, 0.003, Daniel Koenen; Th 10-12, 0.003, Alexander Rosenbaum.

Please hand in your solutions before tuesday 2 pm in the post box opposite to the library entrance.

Exam: oral, 26.2., 4.3., 17.3.

Contents and prerequisites

Lecture Notes "Introduction to Stochastic Analysis"

Combined Lecture Notes "Introduction to Stochastic Analysis (2015/16)" and "Stochastic Analysis (2015)"

Additional material:

• References
• "SDE, Euler scheme (Mathematica Notebook)"
• "Geometric Brownian Motion (Mathematica Notebook)"
• "Feller's branching diffusion (Mathematica Notebook)"
• "Cox-Ingersoll-Ross model (Mathematica Notebook)"
• "From Random Walk to Brownian motion (Mathematica Notebook)"

 

Problem sheets:

• Sheet 1 (hand in until 27.10.)
• Sheet 2 (hand in until 3.11.)
• Sheet 3 (hand in until 10.11.)(Correction in 1b: assume non-trivial increments)
• Sheet 4 (hand in until 17.11.)
• Sheet 5 (hand in until 24.11.)
• Sheet 6 (hand in until 1.12.)(Correction in 4: assume sup E[|X_n|]<\infty)
• Sheet 7 (hand in until 8.12.)
• Sheet 8 (hand in until 15.12.)
• Sheet 9 (hand in until 12.1.)
• Sheet 10 (hand in until 19.1.)
• Sheet 11 (hand in until 26.1.)
• Sheet 12 (hand in until 2.2.)

 

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January 2016 Andreas Eberle eberleadf@uni-bonnfdsa.de