|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|
|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)
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.