Stochastic Analysis SS 2023 (V4F1)

Prof. Dr. Anton Bovier

Florian Kreten

Times: Tuesday  12-14 c.t.
  Thursday 12-14 c.t.
Start: 03.04.2023
Place: Zeichensaal, Wegeler Strasse 10




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

  • 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




Begin in the second week of the lecture period. Registration will be done in the first lectures. There will be two tutorial classes:

Tuesday 16-18, 0.007 Endenicher Allee 60 (Mieskzo Komisarczyk)
Friday 10-12, 0.007 Endenicher Allee 60 (Matteo Licheri)


Exams will be oral

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

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 For further information about the exams, check your emails regularly!