Stochastic Analysis SS 2021 (V4F1)

Prof. Dr. Anton Bovier

Florian Kreten

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Times:	Tuesday  12-14 c.t.
	Thursday 12-14 c.t.
Start:	13.04.2021

The Lecture will be held digitally via Zoom. Links will be published on eCampus. Register here for the course.

 

Content

This is the second course on stochastic analysis. It will cover a selection of advanced topics. Currently, the plan is to cover:

• Stochastic differential equartions and partial differential equations
• One-dimensional diffusions, speed measures, and the trap model
• Lévy processes
• Extreme values and Poisson point processes
• Functional limit theorems for sums of independent random variables
• Extensions to sums of dependent random variables and applications to random walks in random environments

There are preliminary lecture notes for this course which also contain references for further reading.

Prerequisites: The course will assume knowledge in probability theory based on the courses Stochastic Processes and Introduction to Stochastic Analysis. The material coverd in the course Markov Processes is not required.

 

Exercise Sheets

• Sheet 1
• Sheet 2
• Sheet 3
• Sheet 4
• Sheet 5
• Sheet 6
• Sheet 7
• Sheet 8
• Sheet 9
• Sheet 10
• Sheet 11
• Sheet 12

 

Tutorials

will be on Wednesday 16 c.t., beginning in the second week of the lecture. All exercise classes also take place via Zoom. Register for the course on ecampus.

 

Exams (registration closed)

will be oral via Zoom. Check your electronic devices and setup beforehand:
your camera and sound must be working, further make sure you have a writing tablet or an additional well-arranged camera showing a sheet of paper on which you can write.

We are not able to do the exams in person because of some regulations.

As a rule, you will have the option to select a specific topic with which to start the exam.

Periods for the exams are

• 26.07. - 03.08. 2021 
• 20.09. and 27.09. 2021

Check your registration for the exams on Basis. You have at most two attempts for passing the exam. If you have any questions, write an email to florian.kreten@uni-bonn.de. For further information about the exams, check your @uni-bonn.de emails regularly!