WiSe 20/21: Probability Theory III
Nicolas Perkowski
Comments
Content:
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.
Detailed Information can be found on the Homepage of 19208001 Stochastics III.
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Literatur wird in der Vorlesung angegeben.
Literature will be given in the lecture and there will be Lecture Notes.
30 Class schedule
Regular appointments