Wendelin Werner: Katalogdaten im Frühjahrssemester 2021

Auszeichnung: Die Goldene Eule
NameHerr Dr. Wendelin Werner
URLhttp://www.math.ethz.ch/~wewerner
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
401-3600-21LStudent Seminar in Probability Theory Belegung eingeschränkt - Details anzeigen
Limited number of participants.
Registration to the seminar will only be effective once confirmed by email from the organizers.
4 KP2SW. Werner, J. Bertoin, V. Tassion
Kurzbeschreibung
Lernziel
401-3642-00LBrownian Motion and Stochastic Calculus Information 10 KP4V + 1UW. Werner
KurzbeschreibungThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
LernzielThis course covers some basic objects of stochastic analysis. In particular, the following topics are discussed: construction and properties of Brownian motion, stochastic integration, Ito's formula and applications, stochastic differential equations and connection with partial differential equations.
SkriptLecture notes will be distributed in class.
Literatur- J.-F. Le Gall, Brownian Motion, Martingales, and Stochastic Calculus, Springer (2016).
- I. Karatzas, S. Shreve, Brownian Motion and Stochastic Calculus, Springer (1991).
- D. Revuz, M. Yor, Continuous Martingales and Brownian Motion, Springer (2005).
- L.C.G. Rogers, D. Williams, Diffusions, Markov Processes and Martingales, vol. 1 and 2, Cambridge University Press (2000).
- D.W. Stroock, S.R.S. Varadhan, Multidimensional Diffusion Processes, Springer (2006).
Voraussetzungen / BesonderesFamiliarity with measure-theoretic probability as in the standard D-MATH course "Probability Theory" will be assumed. Textbook accounts can be found for example in
- J. Jacod, P. Protter, Probability Essentials, Springer (2004).
- R. Durrett, Probability: Theory and Examples, Cambridge University Press (2010).
401-5600-00LSeminar on Stochastic Processes Information 0 KPJ. Bertoin, A. Nikeghbali, B. D. Schlein, V. Tassion, W. Werner
KurzbeschreibungForschungskolloquium
Lernziel