Universität Wien
Warning! The directory is not yet complete and will be amended until the beginning of the term.

250157 VO Stochastic Analysis (2024W)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik
Tu 01.10. 09:45-11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
Register/Deregister for this course

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Wednesday 02.10. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 08.10. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 15.10. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 16.10. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 22.10. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 29.10. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 30.10. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.11. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.11. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.11. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 19.11. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 26.11. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 27.11. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 03.12. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 10.12. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 11.12. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.12. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.01. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 08.01. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.01. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.01. 09:45 - 11:15 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.01. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.01. 09:45 - 11:15 Seminarraum 8 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 derive its basic properties. Then, we will develop a formal theory of continuous martingales and local martingales, on which we will build the stochastic integral.

Towards the end of the course, if time permits, we will use the constructed theory of stochastic calculus to derive some deep results on the nature of Brownian motion, stochastic differential equations, and the connections to partial differential equations.

Familiarity with Advanced Probability will be assumed.

Some of the keywords are: Gaussian processes, Brownian motion, conditional expectation, martingales, stopping times, optional stopping, local martingales, stochastic integral, Ito's lemma.

Assessment and permitted materials

By default oral exam at the end of the course, unless the size of the course is large.

Minimum requirements and assessment criteria

Examination topics

Reading list

"Brownian Motion and Stochastic Calculus" by Karatzas and Shreve.
A script will also be provided.

Association in the course directory

MSTV, MANV

Last modified: Mo 19.08.2024 15:06