MA-22 Stochastic Calculus
Sommersemester / summer term 2024
| Modul | Mathematik-Master Modul MA-22 |
| Dozent / Lecturer | Prof. Dr. René Schilling |
| Umfang / contact | 4+0 or 3+1 |
| Ort / venue |
WIL A124 |
| Zeit / time | Tue & Thu 1DS = 07:30 - 09:00 |
| Übungen / tutorials | n/a or included |
| Vortrag / Seminar talk | n/a |
| Beginn / begin | first week of term |
| Niveau / level | Master / MSc, Promotion / PhD |
| Unterrichtssprache / language |
English |
| Einschreibung / Registration |
selma and on OPAL |
| Prüfung / exam | oral exam Ort & Zeit / Venue & Time: Tue, July 30, 2024 from 9:00 hrs Wed, July 31, 2024 from 9:00 hrs Anmeldung / registration: via the exam office Hilfsmittel / resources: n/a |
| Prüfungsamt / exam office |
Homepage Aktuelles |
Prerequisites
Probability with Martingales. Alternatively [DC] Chapters I - IX, XII.58-61
Content
We introduce the concept of stochastic integration (Ito integral), discuss its properties, some applications and then move on to stochastic differential equations.
Recommended Reading
- [DC] (lecture notes) Schilling:
Measure, Integral, Probability, & Processes. Amazon Kindle Self-Publishing, Dresden 2021. ISBN: 979-8-5991-0488-9
[www.tinyurl.com/rlscourse] - [BM] (textbook) Schilling:
Brownian Motion. A Guide to Random Processes and Stochastic Calculus. 3rd edn. De Gruyter, Berlin 2021. ISBN: 978-3-11-074124-4.
[Zur hompage des Buchs] - Further literature will be announced in the course.
Online material
- Online material via OPAL.
© Robert Lohse
Prof. Dr. René Schilling
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Visiting address:
Bürogebäude Z21, room 326.2 Zellescher Weg 25
01217 Dresden