Course catalog

19208001

WiSe 19/20: Stochastic Analysis

Nicolas Perkowski

Additional information / Pre-requisites

Prerequisites are Analysis I-III and Stochastics I and II. Functional analysis is helpful but not required.

Comments

Stochastic analysis is the study of stochastic processes that evolve in continuous time. We will treat the following subjects, among others:

Gaussian processes; Brownian motion, construction and properties; filtrations and stopping times; continuous time martingales; continuous semimartingales; quadratic variation; stochastic integration; Itô’s formula; Girsanov’s theorem and change of measure; time change; martingale representation; stochastic differential equations and diffusion processes, connections with partial differential equations.

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32 Class schedule

Regular appointments

Tue, 08:00 - 10:00 Stochastik III 16 Class schedule

Tue, 2019-10-15 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-10-22 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-10-29 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-11-05 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-11-12 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-11-19 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-11-26 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-12-03 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-12-10 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2019-12-17 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-01-07 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-01-14 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-01-21 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-01-28 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-02-04 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Tue, 2020-02-11 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
T9/049 Seminarraum (Takustr. 9)

Wed, 08:00 - 10:00 Stochastik III 16 Class schedule

Wed, 2019-10-16 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-10-23 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-10-30 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-11-06 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-11-13 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-11-20 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-11-27 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-12-04 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-12-11 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2019-12-18 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-01-08 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-01-15 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-01-22 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-01-29 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-02-05 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Wed, 2020-02-12 08:00 - 10:00

Stochastik III

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
A6/SR 031 Seminarraum (Arnimallee 6)

Back to list of modules

Location: Di T9/049 Seminarraum (Takustr. 9), Mi A6/SR 031 Seminarraum (Arnimallee 6)

Schedule: Di 08:00-10:00, Mi 08:00-10:00

Class starts on: 2019-10-15

Course language: English

Contact hours: 4

Number of participants: 50

Limited attendance: Yes

Attendance required: No

Modules where this course belongs: