Hinweis: Diese Veranstaltung wird im Wintersemester 2013/14 in englischer Sprache durchgeführt. Das betrifft insbesondere die Vorlesung sowie die Hausaufgaben. Aus diesem Grund stellen wir fast alle Informationen nur in englischer Sprache zur Verfügung.

Stochastic Analysis in winter term 2013/14

Dates: Thursdays, 10:00 to 12:00 in room PR 2.02.01 (lecture hall, 2nd floor) at Parkring 11 in Garching-Hochbrück.
Start: 17th October 2013
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.

NEW! A script of Prof. Berger's lecture is now available here.

Lecture notes from 2011/12 are available here.

Final exam:

Mo 24.02.14, 15:30-16:30 in Garching Forschungszentrum 5620.01.101 (Raum 101, Interims Hörsaal 1)

Mi 26.03.14, 10:30-11:30 in Hochbrück 0.01.17, Hochbrück Hörsaal 2 (8102.EG.117)

Post-exam review Th 03.04.14, 10:00-12:00 in the lecture room, Hochbrück, Parkring 11, 2.02.01
Exercise classes:
Dates of classes:

Group 1: Thursdays, 8:15 - 9:45, Start: 24th October
Group 2: Thursdays, 12:15 - 13:45, Start: 24th October
Group 3: Thursdays, 8:15 - 9:45, Start: 31st October
Group 4: Thursdays, 12:15 - 13:45, Start: 31st October

Dates and Rooms

We will hold a question session on Thursday, 20th of February, 9:45am at the lecture hall in Hochbrück Parkring 11-13 (2.02.01).


Organization of classes: Michele Salvi, Katja Miller
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 50 % 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 Group 1) 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 Michele Salvi.