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

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