19208001
Lecture
Probability Theory III
Lucio Galeati
Comments
Stochastic analysis is the study of stochastic processes that evolve in continuous time. We will treat the following subjects, among others:
Gaussian processes; Brownian motion, construction and properties; filtrations and stopping times; continuous time martingales; continuous semimartingales; quadratic variation; stochastic integration; Itô’s formula; Girsanov’s theorem and change of measure; time change; martingale representation; stochastic differential equations and diffusion processes, connections with partial differential equations.
Detailed Information can be found on the Homepage of 19208001 Stochastics III.
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Regular appointments
Wed, 2024-10-16 08:00 - 10:00
Wed, 2024-10-23 08:00 - 10:00
Wed, 2024-10-30 08:00 - 10:00
Wed, 2024-11-06 08:00 - 10:00
Wed, 2024-11-13 08:00 - 10:00
Wed, 2024-11-20 08:00 - 10:00
Wed, 2024-11-27 08:00 - 10:00
Wed, 2024-12-04 08:00 - 10:00
Wed, 2024-12-11 08:00 - 10:00
Wed, 2024-12-18 08:00 - 10:00
Wed, 2025-01-08 08:00 - 10:00
Wed, 2025-01-15 08:00 - 10:00
Wed, 2025-01-22 08:00 - 10:00
Wed, 2025-01-29 08:00 - 10:00
Wed, 2025-02-05 08:00 - 10:00
Wed, 2025-02-12 08:00 - 10:00
Thu, 2024-10-17 10:00 - 12:00
Thu, 2024-10-24 10:00 - 12:00
Thu, 2024-10-31 10:00 - 12:00
Thu, 2024-11-07 10:00 - 12:00
Thu, 2024-11-14 10:00 - 12:00
Thu, 2024-11-21 10:00 - 12:00
Thu, 2024-11-28 10:00 - 12:00
Thu, 2024-12-05 10:00 - 12:00
Thu, 2024-12-12 10:00 - 12:00
Thu, 2024-12-19 10:00 - 12:00
Thu, 2025-01-09 10:00 - 12:00
Thu, 2025-01-16 10:00 - 12:00
Thu, 2025-01-23 10:00 - 12:00
Thu, 2025-01-30 10:00 - 12:00
Thu, 2025-02-06 10:00 - 12:00
Thu, 2025-02-13 10:00 - 12:00