250157 VO Stochastic Analysis (2022W)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

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Details

Language: English

Examination dates

Lecturers

Xin Zhang

Classes (iCal) - next class is marked with N

Monday 03.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 05.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 10.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 12.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 17.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 19.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 24.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 31.10. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 07.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 09.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 14.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 16.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 21.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 23.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 28.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 30.11. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 05.12. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 07.12. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 12.12. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 14.12. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 09.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 11.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 16.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 18.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 23.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 25.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
Monday 30.01. 11:30 - 13:00 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

This course aims at rigorously developing Ito's theory of stochastic calculus and presenting some of its fundamental applications.

We will first construct Brownian motion and prove its strong Markov property. Then we will turn to the theory of martingales and derive its basic properties. Towards the end of the course, we will develop stochastic integral, and Ito's lemma. It time permits, we will discuss the connection between Brownian motion and Partial Differential Equations.

Familiarity with Advanced Probability will be assumed.

Assessment and permitted materials

Oral exam at the end of the course.

Minimum requirements and assessment criteria

Examination topics

Reading list

Brownian Motion and Stochastic Calculus by Karatzas and Shreve;
Brownian Motion, Martingales, and Stochastic Calculus by Le Gall;
Probability with Martingales by Williams.

Association in the course directory

MSTV, MANV

Last modified: We 21.06.2023 14:47