Stochastic Analysis in winter term 2015/16

Dates: Thursdays, 10:15 to 11:45 in room BC1 2.02.01 (lecture hall, 2nd floor) at Parkring 11 in Garching-Hochbrück.
Start: 15th October 2015
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

(no material other than a pencil and a brain will be allowed in the exams)

  • 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.

A script of Prof. Berger's lecture is available here. It will be updated during the course of the semester.

Lecture notes from 2011/12 are available here.