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. Pierre Nolin
Lectures Tuesday, 10:15 - 11:55, HG E 1.1,
Wednesday, 08:15 - 10:00, HG E 1.1
Coordinator Wei Qian
Exercises Friday, 09:15-10:00
Friday, 11:10-11:55
Friday, 12:15-13:00

First lecture:
Tuesday, February 23.
First tutorial:
Friday, February 26.

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

This course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Itō's formula and applications, stochastic differential equations and connection with partial differential equations.

Lecture notes

Lecture notes will be distributed in class. Extra copies will be placed in the boxes located in the hallway in front of HG E 66.1.



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 | 8 April 2016