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: |
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Script: | Lecture notes are available on moodle. |
Exercises
Dates of classes: | We offer three classes every week:
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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. |