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Brownian Motion and Stochastic Calculus

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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:
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

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.

References

 

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© 2016 Mathematics Department | Imprint | Disclaimer | 8 April 2016
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