250032 VO Stochastic Analysis (2010S)

3.00 ECTS (2.00 SWS), SPL 25 - Mathematik

We plan to cover chapters 1-4 of the book "Continuous Martingales and Brownian Motion" by Daniel Revuz and Marc Yor as well as selected material of the rest of the book.
I.e., we will give a rigorous introduction to Brownian motion, continuous time Martingales and stochastic - / Ito integration as well as applications thereof.

Basic knowledge of measure- and probability theory will be assumed.

Details

Language: German

Examination dates

Friday 11.11.2011 Tuesday 05.06.2012

Lecturers

Classes (iCal) - next class is marked with N

    
    Thursday
    04.03.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    11.03.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    18.03.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    25.03.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    15.04.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    22.04.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    29.04.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    06.05.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    20.05.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    27.05.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    10.06.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    17.06.
    11:15 - 12:45
    Seminarraum
    
    Thursday
    24.06.
    11:15 - 12:45
    Seminarraum

Information

Aims, contents and method of the course

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

"Continuous Martingales and Brownian Motion", Daniel Revuz and Marc Yor

Association in the course directory

MSTV

Last modified: Mo 07.09.2020 15:40