Stochastic Analysis in winter term 2012/13

Dates: Thursdays, 10:00 to 12:00 in room 0.01.16 (Hörsaal 1, ground floor) at Parkring 35 (next to EDEKA) in Garching-Hochbrück
Start: 18th October 2012
Instructor: Prof. Dr. Noam Berger
Prerequisites: Probability Theory
Content: Martingales in continuous time, Brownian motion: construction and properties, Donsker's invariance principle, Stochastic integrals, Ito's formula, stochastic differential equations, Girsanov's theorem
Literature: Ioannis Karatzas and Steven Shreve: Brownian motion and stochastic calculus, Springer, 2007.
Achim Klenke: Probability Theory, Springer, 2008. (List of typos)
Thomas Liggett: Continuous time Markov processes: An introduction, American Mathematical Society, 2010.
Peter Mörters and Yuval Peres: Brownian motion, Cambridge University Press, 2010.
Script: Lecture notes from last year are available here.
Final exam:
Dates: The final exam takes place on 25th February 2013 13:30 - 14:30 in room 5602.EG.001 (00.02.001 MI Hörsaal 1).
Exercise classes:
Dates of classes: Group 1: Thursdays, 8:15 - 9:45 in room 0.01.05, Seminarraum 2
Start: 25th October (dates)
Group 2: Thursdays, 12:15 - 13:45 room 0.01.05, Seminarraum 2
Start: 25th October (dates)
Group 3: Thursdays, 8:15 - 9:45 in room 0.01.05, Seminarraum 2
Start: 8th November (dates)
Group 4: Thursdays, 12:15 - 13:45 in room 0.01.05, Seminarraum 2
Start: 8th November (dates)
Organization of classes: Xiaoqin Guo, Michael Kochler, Chiranjib Mukherjee
Bonus system: Your homework will be corrected and rated with points. Through the continuous participation in the exercise course you can receive a bonus on your exam grade. If you achieve at least 60 % of all achievable points, you will get a bonus of one grade level on the grade of your exam if passed (i.e., 1.7 becomes 1.3, 2.3 becomes 2.0, 3.0 becomes 2.7, etc.). Improving the grade 1.0 or failed exams is not possible. This bonus counts only for the two exams corresponding to this lecture.

Please work in a group of two or three on your homework and hand in the homework in English. You can either hand in your homework in the lecture (or in the early group for Groups 1 and 3) or drop it into the blue box next to Hörsaal 2.02.01 (Parkring 11).

If you have any questions concerning the exercise classes, please contact Xiaoqin Guo.