The contents of the lectures will comprise the following topics:
1. Introduction to Pathwise Itô-Calculus
2. (Semi-)Martingales and Stochastic Integration
3. Markov Processes
4. Girsanov Transformation
5. Brownian motion and potential theory
6. Stochastic Differential Equations
Prerequisites: My lectures on Probability Theory Part I and II.
For those who have not attended these two courses should work through
the corresponding notes, which are available on my homepage under
"Teaching". For username and password contact me by e-mail.
Frequency | Weekday | Time | Format / Place | Period |
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The binding module descriptions contain further information, including specifications on the "types of assignments" students need to complete. In cases where a module description mentions more than one kind of assignment, the respective member of the teaching staff will decide which task(s) they assign the students.
Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
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Studieren ab 50 |
A corresponding course offer for this course already exists in the e-learning system. Teaching staff can store materials relating to teaching courses there: