Universität Wien
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250124 VO Stochastic Analysis (2016W)

7.00 ECTS (4.00 SWS), SPL 25 - Mathematik

Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Thursday 06.10. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 07.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 13.10. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 14.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 20.10. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 21.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 27.10. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 28.10. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 03.11. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 04.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 10.11. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 11.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 17.11. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 18.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 24.11. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 25.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 28.11. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 01.12. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 02.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 09.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 12.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 15.12. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 16.12. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 12.01. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 13.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 16.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 19.01. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 20.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 23.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 26.01. 13:15 - 14:45 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 27.01. 11:30 - 13:00 Seminarraum 10 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

This lecture course offers an introduction to some aspects of stochastic processes in continuous time. Keywords: Brownian motion, martingales, Markov processes, stochastic calculus, stochastic differential equations, diffusion processes

Assessment and permitted materials

oral exam (more details during the lectures/ via my webpage)

Minimum requirements and assessment criteria

Examination topics

Reading list

Some related textbooks (more details during the lectures/ via my webpage):

* I. Karatzas & S.E. Shreve: Brownian Motion and Stochastic Calculus. 2nd ed, Springer 1991.
* F.C. Klebaner: Introduction to Stochastic Calculus with Applications. 2nd ed, Imperial College Press 2005.
* J.-F. Le Gall: Brownian Motion, Martingales, and Stochastic Calculus. Springer 2016.
* L.C.G. Rogers & D. Williams: Diffusions, Markov Processes, and Martingales. (2 volumes) 2nd ed, Cambridge University Press 2000.

Association in the course directory

MSTV

Last modified: Mo 07.09.2020 15:40