19208001 Lecture

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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Suggested reading

Literatur wird in der Vorlesung angegeben.
Literature will be given in the lecture and there will be Lecture Notes.

30 Class schedule

Regular appointments

Mon, 2020-11-02 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-11-09 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-11-16 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-11-23 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-11-30 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-12-07 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2020-12-14 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-01-04 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-01-11 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-01-18 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-01-25 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-02-01 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-02-08 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-02-15 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Mon, 2021-02-22 12:00 - 14:00
Stochastik III (Serientermin 2)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-11-04 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-11-11 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-11-18 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-11-25 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-12-02 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-12-09 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2020-12-16 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-01-06 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-01-13 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-01-20 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-01-27 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-02-03 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-02-10 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-02-17 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Wed, 2021-02-24 10:00 - 12:00
Stochastik III (Serientermin 1)

Lecturers:
Univ.-Prof. Dr. Nicolas Perkowski

Location:
Virtueller Raum 20

Subjects A - Z