Department of Mathematics

Brownian Motion and Stochastic Calculus

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Lecturer Prof. Dr. Alain-Sol Sznitman
Lectures Wednesday, 10:15 – 11:55, in HG D 7.2,
Friday, 10:15 – 11:55, in HG E 41.
Coordinator Ariel Neufeld
Exercises Tuesday, 14:15 – 15:00.

First lecture:
Wednesday, February 20.
First tutorial:
Tuesday, February 26.

Course attendence confirmation (Testat) requirements:
2/3 of all exercises reasonably tackled.

Click here for information on the exercises.

Question times ("Präsenz"):
Mondays and Thursdays, 12:00 – 13:00, in HG G 32.6.
Question times during vacation ("Ferienpräsenz"):
Monday, 22.07 and Thursday 25.07, 13:00-14:30, in HG G 32.6.

Course content

The lecture will cover some basic objects of stochastic analysis. The following topics will for instance be discussed: Brownian motion, construction and properties, stochastic integration, Ito's formula and applications, stochastic differential equations and their links to partial differential equations.

Lecture notes

Lecture notes will be distributed during class. Handwritten notes for this course from a previous year are also available at



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© 2016 Mathematics Department | Imprint | Disclaimer | 19 July 2013