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 fast alle Informationen nur in englischer Sprache zur Verfügung.

Stochastic Analysis in winter term 2015/16

Lecture:
Dates:Thursdays, 10:15 to 11:45 in room BC1 2.02.01 (lecture hall, 2nd floor) at Parkring 11 in Garching-Hochbrück.
Start: 15th October 2015
Instructor:Prof. Dr. Noam Berger
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:

(no material other than a pencil and a brain will be allowed in the exams)

  • Ioannis Karatzas and Steven Shreve: Brownian motion and stochastic calculus, Springer, 2007.
  • Achim Klenke: Probability Theory, Springer, 2008. (List of typos)
  • Thomas Liggett: Continuous time Markov processes: An introduction, American Mathematical Society, 2010.
  • Peter Mörters and Yuval Peres: Brownian motion, Cambridge University Press, 2010.
Script:

A script of Prof. Berger's lecture is available here. It will be updated during the course of the semester.

Lecture notes from 2011/12 are available here.