Stochastic Analysis (HS 2020)

Lectures: Monday and Tuesday 10:15-12:00, online via Zoom, link in ADAM

Exercises: Thursday 8:15-10:00, online via Zoom (assistant Ramon Locher)

Summary: The course gives an introduction to the theory of stochastic processes in continuous time. The following topics will be discussed:

• Brownian motion
• Martingales in continuous time
• Markov processes
• Stochastic calculus
• Levy processes
• Stochastic differential equations

Lectures content will be provided in form of handwritten notes from the lectures and pointers to the literature on ADAM. Video recordings are available on ADAM as well.

Questions for exercises are disponible on ADAM.

• TBD

Literature:

• J.-F. Le Gall: Brownian Motion, Martingales, and Stochastic Calculus
• D. Revuz, M. Yor: Continuous martingales and Brownian motion
• I. Karatzas, S. Shreve: Brownian motion and stochastic calculus
• L.C.G. Rogers, D. Williams: Diffusions, Markov processes and martingales, 1 and 2
• D.W. Stroock, S.R.S. Varadhan: Multidimensional diffusion processes
• R. Durrett: Stochastic calculus: A practical introduction