Department of Mathematics

Brownian Motion and Stochastic Calculus

Please note that this page is old.
Check in the VVZ for a current information.
Lecturer Prof. Dr. Martin Schweizer
Lectures Tuesday, 8 - 10, in HG E 41,
Wednesday, 8 - 10, in HG E 41.
Coordinator Ariel Neufeld
Exercises Friday, t.b.a.

First lecture:
Tuesday, February 18.
First tutorial:
Friday, February 21.

Course attendence confirmation (Testat) requirements:

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"):
see Ferienpräsenz

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

One can buy the Lecture notes during Question times ("Präsenz") for 20 CHF. Additional notes about weak convergence can be found here.



Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne graphische Elemente dargestellt. Die Funktionalität der Website ist aber trotzdem gewährleistet. Wenn Sie diese Website regelmässig benutzen, empfehlen wir Ihnen, auf Ihrem Computer einen aktuellen Browser zu installieren. Weitere Informationen finden Sie auf
folgender Seite.

Important Note:
The content in this site is accessible to any browser or Internet device, however, some graphics will display correctly only in the newer versions of Netscape. To get the most out of our site we suggest you upgrade to a newer browser.
More information

© 2016 Mathematics Department | Imprint | Disclaimer | 24 July 2014