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Stochastic Analysis, Summer term 2015

Tuesdays 12.15-14.00 and thursdays 12.15-14.00, Kleiner Hörsaal, Wegelerstr. 10

Lecture course: Andreas Eberle

Tutorial classes:Kaveh Bashiri

Monday 12-14, Room 0.011, Wednesday 16-18, Room 0.006

Exam: Schedule

The course will cover the following topics:

  • Lévy processes and Poisson point processes; stochastic calculus for semimartingales with jumps
  • Transformations and weak solutions of stochastic differential equations
  • Stochastic flows, approximation schemes and variations of SDE, or
  • Stochastic Analysis on function spaces

Prerequisites: Ito calculus for Brownian motion, see e.g. my lecture notes on "Introduction to Stochastic Analysis".

Lecture Notes: Lecture notes are available here. Slides on Malliavin calculus.

Further References:

  • Rogers/Williams: Diffusions, Markov processes and martingales, Vol.2
  • Bass: Stochastic processes
  • Protter: Stochastic integration and differential equations
  • Applebaum: Lévy Processes and Stochastic Calculus
  • More references

Simulations (Mathematica Notebooks):

Problem Sheets:

 


June 2015 Andreas Eberle eberle@uni-bonn.de