Probability and Stochastic Analysis - University of Bonn

Andreas Eberle - Lecture Courses

Stochastic Analysis, WS 2012/13

Tuesdays 12.15-14.00 KHS and Fridays 8.30-10.00, 1.007 (CHANGED !!!)

Lecture Course: Andreas EberleTutorial Classes: Sebastian Andres, Fridays 16.15-18.00 (CHANGED !!!) Hand in solutions to exercises: Tuesdays before 12.15Examination: Oral, t.b.a.

Topics to be covered: Stochastic integration theory for continuous and discontinuous semimartingales. Stochastic Differential Equations: weak solutions and martingale problem; strong solutions and stochastic flows; numerical methods; derivative flows and Malliavin calculus.

    • The course will roughly follow the notes of last years' course, see Stochastic Analysis. However, I plan to focus less on Levy processes, and to include some additional material on numerical methods and Malliavin calculus instead. A solid background on Brownian Motion and Martingale Theory will be assumed. Students without such a background are recommended to attend the course Foundations in Stochastic Analysis, seeIntroduction to Stochastic Analysis for the material covered in this course.

Lecture Notes:



Exercise Sheets:


October 2012 Andreas Eberle