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Hinweis: Diese Veranstaltung wird im Wintersemester 2015/16 in englischer Sprache durchgeführt. Das betrifft insbesondere die Vorlesung sowie die Hausaufgaben. Aus diesem Grund stellen wir alle Informationen nur in englischer Sprache zur Verfügung.

Stochastic Analysis winter term 2018/19

Lecture

Dates:	Thursdays, 09:00 to 11:45 in room BC2 3.05.06 (lecture hall, 3rd floor) at Parkring 35/37 in Garching-Hochbrück.
First Lecture:	October 18, 2018
Instructor:	Prof. Dr. Nina Gantert
Prerequisites:	Probability Theory
Content:	Martingales in continuous time, Brownian motion: construction and properties, Donsker's invariance principle, Stochastic integrals, Ito's formula, stochastic differential equations, Girsanov's theorem
Literature:	Ioannis Karatzas and Steven Shreve: Brownian motion and stochastic calculus Achim Klenke: Probability Theory Thomas Liggett: Continuous time Markov processes: An introduction Peter Mörters and Yuval Peres: Brownian motion Jean-François Le Gall: Brownian Motion, Martingales, and Stochastic Calculus
Script:	Lecture notes are available on moodle.

Exercises

Dates of classes:	We offer three classes every week: Tuesday 12:00 to 13:30 in BC1 2.02.01 Tuesday 16:15 to 17:45 in BC1 2.02.01 Thursday 12:15 to 13:45 in BC2 3.5.06 We will alternate between tutorial classes (where you work on the tutorial exercises) and homework classes (where we present solutions to homework problems). Please see the schedule on the moodle page.
Organization of classes:	Stefan Junk
Moodle:	Please register for the exercise class for this course in TUMonline to get access to the moodle page for this course.
Bonus system:	You can earn a grade bonus for the exam by handing in solutions to the homework problems. Please read the information in moodle.

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