Reading Course: Stochastic Analysis
Dr. Alexander Kalinin
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Weekly meetings Dr. Alexander Kalinin | Wednesday, 8:30 - 10:00 | B251 |
The course is organised via Moodle. If you want to attend the course, please register in Moodle.
In this reading course, we will study stochastic processes in continuous time such as stochastic integrals driven by Brownian motion. By using the approach of Kunita and Watanabe that is based on Riesz’s representation theorem, we will introduce stochastic integrals with respect to square-integrable martingales and analyse their probabilistic properties. In this context, the approximation and simulation of continuous processes will be discussed.
- Revuz, D. and Yor, M.: Continuous martingales and Brownian motion, Springer-Verlag, 1999.
- Karatzas, I. and Shreve, S. E.: Brownian motion and stochastic calculus, Springer-Verlag, 1988.
Both books are available as PDF files for LMU students at the university library.
Target Participants: Master students in Mathematics.
Pre-requisites: Probability theory and measure and integration theory.
Applicable credits: 6 ECTS. Students may apply the credits from this course to the
- Master in Mathematics, PO 2021 (WP 36).