|
Lecturer |
Prof. Dr. Josef Teichmann |
Lectures |
Tuesday, 10:15 - 11:55, HG E 1.1, Wednesday, 08:15 - 10:00, HG E 1.1 |
Coordinator |
Ren Liu |
Exercises |
Friday, 08:15-09:00
Friday, 11:10-11:55 Friday, 12:15-13:00 |
First lecture:
Tuesday, February 17.
First tutorial:
Friday, February 20.
Course attendence confirmation (Testat) requirements:
No.
Exercises:
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
This
is a first course on continuous-time stochastic processes. It covers
basic notions of stochastic calculus. The following topics will be
discussed:
- Brownian motion: definition, construction, some important properties
- Markov processes: basics, strong Markov property, generators and martingale problems
-
Stochastic calculus: semimartingales, stochastic integrals, Ito
formula, Girsanov transformation, stochastic differential equations
- Levy processes: basic notions, some important properties
One can buy the Lecture notes during Question times ("Präsenz") for 17 CHF. Additional notes about weak convergence can be found here.
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