SS 2014 Stochastic Analysis (BMS Basic course)

Prof. Markus Reiß

M.Sc. Randolf Altmeyer

Dates and locations

• Lectures (Prof. Markus Reiß):
  • Thursday, 9:15 - 10:45, Rudower Chaussee 25 (von Neumann-Haus), room 3.007
  • Thursday, 13:30 - 15:00, Rudower Chaussee 26 (Schrödinger building), room 0.310
• Exercise (Randolf Altmeyer):
  • Tuesday, 13:30 - 15:00, Rudower Chaussee 25 (von Neumann-Haus), room 4.007

Topics

Prerequisites

• Stochastic processes (Stochastik II) (see notes from last semester or [1])

Exam

• at the end of the summer term (exact dates will be fixed later)
• first week of winter term 14/15 (exact dates will be fixed later)

Tutorial

• problem sheets (pdf contains ALL sheets)
• homework points
• Functional monotone class theorem
• lecture notes (pdf,lyx, bibtex, mymath_mine.sty)

Literatur

[1] Jean Jacod, Philip E. Protter: Probability Essentials. Springer, 2003. URL http://books.google.com/books?id=OK_d-w18EVgC&pgis=1.

[2] Ioannis Karatzas: Brownian Motion and Stochastic Calculus. Springer, 1991. URL http://books.google.com/books?id=ATNy_Zg3PSsC&pgis=1.

[3] Achim Klenke: Wahrscheinlichkeitstheorie. Springer London, Limited, 2008. URL http://books.google.it/books?id=bmy89K9VjHIC.

[4] Bernt Karsten Oksendal: Stochastic Differential Equations: An Introduction with Applications. Springer Science & Business, 2010. URL http://books.google.com/books?id=EQZEAAAAQBAJ&pgis=1.

[5] Philip E. Protter: Stochastic Integration and Differential Equations: Version 2.1. Springer, 2004. URL http://books.google.it/books?id=mJkFuqwr5xgC.

[6] Daniel Revuz, Marc Yor: Continuous Martingales and Brownian Motion. Springer, 1999. URL http://books.google.com/books?id=1ml95FLM5koC&pgis=1.

[7] J. Michael Steele: Stochastic Calculus and Financial Applications. Springer, 2001. URL http://books.google.com/books?id=H06xzeRQgV4C&pgis=1.

[8] David Williams: Probability with Martingales. Cambridge University Press, 1991. URL http://books.google.it/books?id=e9saZ0YSi-AC.