401-3642-00L  Brownian Motion and Stochastic Calculus

SemesterSpring Semester 2016
LecturersP. Nolin
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3642-00 VBrownian Motion and Stochastic Calculus4 hrs
Tue10:15-12:00HG E 1.1 »
Wed08:15-10:00HG E 1.1 »
P. Nolin
401-3642-00 UBrownian Motion and Stochastic Calculus
Fri 8-9 or Fri 11-12 or Fri 12-13 depending on sufficient demand
1 hrs
Fri08:15-09:00HG E 21 »
09:15-10:00HG E 21 »
11:15-12:00HG E 22 »
11:15-12:00LEE C 114 »
12:15-13:00HG E 22 »
P. Nolin

Catalogue data

AbstractThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
ObjectiveThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
Lecture notesLecture notes will be distributed in class.
Literature- I. Karatzas, S. Shreve, Brownian Motion and Stochastic Calculus, Springer (1991).
- D. Revuz, M. Yor, Continuous Martingales and Brownian Motion, Springer (2005).
- L.C.G. Rogers, D. Williams, Diffusions, Markov Processes and Martingales, vol. 1 and 2, Cambridge University Press (2000).
- D.W. Stroock, S.R.S. Varadhan, Multidimensional Diffusion Processes, Springer (2006).
Prerequisites / NoticeFamiliarity with measure-theoretic probability as in the standard D-MATH course "Probability Theory" will be assumed. Textbook accounts can be found for example in
- J. Jacod, P. Protter, Probability Essentials, Springer (2004).
- R. Durrett, Probability: Theory and Examples, Cambridge University Press (2010).

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits10 credits
ExaminersP. Nolin
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

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Only public learning materials are listed.

Groups

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Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Mathematics BachelorCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Mathematics MasterCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation