240607 Einfuehrung in die Stochastische Analysis (V) (WiSe 2011/2012)
Contents, comment
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Die Vorlesung ist Teil einer Spezialisierungssequenz, die im SoSe 12 fortgesetzt werden wird. Alle Interessierten sind jedoch willkommen. Voraussetzungen sind ausser den Grundvorlesungen: Analysis III, Wahrscheinlichkeitstheorie I und II. Skripte zu diesen Vorlesungen stehen "uber die Homepage des Veranstalters zum Runterladen bereit. Das Skript zur geplanten Vorlesung selbst ebenfalls.
Zum Inhalt geh"oren u.a.:
1. Introduction to Pathwiese Ito-Calculus
2. (Semi-)Martingales and Stochastic Integration
3. Markov Processes
4. Girsanov Transformation
5. Potential Theory of Brownian Motion
Bibliography
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Homepage des Dozenten: http://www.math.uni-bielefeld.de/~roeckner/teaching.html
Skriptum zur Vorlesung Wahrscheinlichkeitstheorie I + II: http://www.math.uni-bielefeld.de/~roeckner/teaching1112/wtheorie-gesamtskript.pdf
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| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Mathematik / Diplom | (Enrollment until SoSe 2008) | Wahl | 7. 8. | scheinfähig HS | |||
| Mathematik / Master | (Enrollment until SoSe 2011) | MM16S | Wahlpflicht | 3. | 9 | benotet HS | |
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | Wahl | 7. 8. | scheinfähig HS | |||
| Wirtschaftsmathematik / Master | (Enrollment until SoSe 2011) | 3. |
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