**Stochastic Analysis SS 2021 (V4F1)**

## Prof. Dr. Anton Bovier

### Florian Kreten

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

**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.

**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**

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.

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. - 06.08. 2021
- 20.09. - 30.09. 2021

You have at most two attempts for passing the exam.