Stochastic Analysis

WS 2019/20



Tuesday, 08.15 am - 10.00 am, M5
Friday, 08.15 am - 10.00 am, M5


Prof. Dr. Martin Huesmann


Martin Brückerhoff


The course in the course catalogue
The tutorial 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 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.

Course assessment:




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.