240159 Introduction to Stochastic Analysis (V) (WiSe 2016/2017)
Contents, comment
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Contents
Chapters:
1. Introduction to Pathwise Ito-Calculus
2. (Semi-)Martingales and Stochastic Integration
3. Markov Processes
4. Girsanov Transformation
5. Brownian motion and potential theory
6. Stochastic Differential Equations
7. The martingale problemThis is the second lecture course within a specialization sequence in Stochastic Analysis.
Requirements for participation, required level
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Prerequisites:
- Measure Theory and Integration (= MIT) ¹⁾
- Probability Theory I (= Wahrscheinlichkeitstheorie I) ²⁾
- Probability Theory II (= Wahrscheinlichkeitstheorie II) ²⁾Pdf's of the corresponding lecture notes (= Skipt) are available for ¹⁾ in German (in English only handwritten) and for ²⁾ in German and English. Please, send an e-mail to nofz@math.uni-bielefeld.de to obtain the passwords.
Teaching staff
Dates ( Calendar view )
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Subject assignments
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- E-Learning Space
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- Last update basic details/teaching staff:
- Tuesday, July 12, 2016
- Last update times:
- Wednesday, January 25, 2017
- Last update rooms:
- Wednesday, January 25, 2017
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 4
- Language
- This lecture is taught in english
- Department
- Faculty of Mathematics
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