Stochastic Analysis
Lecture: 
Tuesday, 08.15 am  10.00 am, M5 
Lecturer: 
Prof. Dr. Martin Huesmann 
Assistance: 

QISPOS: 
The course in the course catalogue 
Course syllabus: 
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 Itointegral for semimartingales, the Itoformula 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. 
Course assessment: 
TBA 
Tutorial
Tutorial: 
Wednesday, 10.00 am 12.00 am, SRZ 205 Start: 09.10.2019 
Problem sets: 
The weekly exercise sheets will be uploaded to the corresponding Learnweb course. 