SS 2014 Stochastic Analysis (BMS Basic course)

Prof. Markus Reiß

M.Sc. Randolf Altmeyer

Dates and locations


Construction and properties of Brownian motion, martingales in continuous time, stochastic integration, Itô formula, change of measure, stochastic differential equations, connection to partial differential equations, applications.



In order to take the final exam you need to get at least 50% of the homework points. The final examination will be an oral exam. There are two possible time frames:



[1] Jean Jacod, Philip E. Protter: Probability Essentials. Springer, 2003. URL

[2] Ioannis Karatzas: Brownian Motion and Stochastic Calculus. Springer, 1991. URL

[3] Achim Klenke: Wahrscheinlichkeitstheorie. Springer London, Limited, 2008. URL

[4] Bernt Karsten Oksendal: Stochastic Differential Equations: An Introduction with Applications. Springer Science & Business, 2010. URL

[5] Philip E. Protter: Stochastic Integration and Differential Equations: Version 2.1. Springer, 2004. URL

[6] Daniel Revuz, Marc Yor: Continuous Martingales and Brownian Motion. Springer, 1999. URL

[7] J. Michael Steele: Stochastic Calculus and Financial Applications. Springer, 2001. URL

[8] David Williams: Probability with Martingales. Cambridge University Press, 1991. URL