Stochastische Analysis
| Lecture: |
Tuesday, 08.15 - 10.00 Uhr, M5 |
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Tutorials: |
Wed, 12-14, tba |
| Lecturer: | Martin Huesmann |
| Assistent: | Bastian Müller |
| KommVV: | |
| Course syllabus: |
Die Vorlesung führt in das Gebiet der stochastischen Analysis ein, welches wichtig ist für zahlreiche Anwendungen in den Naturwissenschaften und der Finanzmathematik. Folgende Punkte werden behandelt: Martingaltheorie in stetiger Zeit, das stochastische Integral, Ito-Formel, stochastische Differentialgleichungen, Zusammenhang mit Operatorgruppen und PDEs. Die Themen der Vorlesung sind Voraussetzung für die Vorlesung "Höhere Finanzmathematik", welche im folgenden Sommersemester angeboten wird. The course “Stochastische 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 “Höhere Finanzmathematik” that presumably will take place in the next summer term. |
| Learnweb: |
Please register for the learnweb course where you can find additional material for the course. |