Summer term 2008

BMS Basic Course „Stochastic Processes II: Continuous Time“ / Stochastische Analysis

Topics:

Brownian Motion
Martingales
Semimartingales
Stochastic integrals
Itô's formula
Stochastic differential equations
Girsanovs theorem
Lévy processes
Applications to mathematical finance

Course Hours and Rooms:

The course will take place in Campus Adlershof:
lectures: Erwin-Schrödinger Zentrum, Rudower Chaussee 26 (RUD 26),
exercises: Johann von Neumann-Haus, Rudower Chaussee 25 (RUD 25).

Lectures	Thu	9:15a.m.-10.45a.m.	RUD 26, room 0.311
	Thu	1:15p.m.-2:45p.m.	RUD 26, room 0310

Exercises (Irina Penner)	Wed	11:15a.m.-12:45a.m.	RUD 25, room 4.007

Textbooks:

Literature will be announced in the beginning of the course.

Office Hours:

by arrangement, RUD 25, 1.202, Tel. 2093-5811

Teaching

Summer term 2008

BMS Basic Course „Stochastic Processes II: Continuous Time“ / Stochastische Analysis