Stochastic Analysis
WS 2020/21
Allgemeines
| Lecture: |
Mon. 10 a.m. to 12 a.m. Thu. 10 a.m. to 12 a.m. |
| Dozent: | Prof. Dr. Steffen Dereich |
| Assistenz: | Sebastian Kassing |
| KommVV: | |
| Inhalt: | The course “Stochastic Analysis” is for master students who are already familiar with fundamental concepts of probability theory. Stochastic analysis is a branch of probability theory that is important for many applications in physics, chemistry, biology and finance.
This course will cover the following topics: martingales in continuous time, Brownian motion, the Ito-integral for semi-martingales, the Ito-formula and applications, stochastic representation of solutions of PDEs, stochastic differential equations and Girsanov's theorem. The understanding of these topics is essential for the attendance of the course “Mathmatical Finance II” that presumably will take place in the next summer term. |
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| Learnweb: | The corresponding learnweb course is here to be found. |
| Leistungsnachweis: | |
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