Andreas Eberle - Vorlesungen

Stochastic Analysis, WS 2011/12

Tuesdays 12.15-14.00 and Thursdays 12.15-14.00, KHS, Wegelerstr. 10

Lecture Course: Andreas Eberle

Tutorial Classes: Evangelia Petrou, Wednesdays 16.15-18.00, 0.011 

Hand in solutions to exercises: Tuesdays before 14.00

Examination: Oral, t.b.a.

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

Lecture Notes:




Exercise Sheets:


October 2011 Andreas Eberle