| |
|
Sommersemester / summer term 2012
- Ort / venue: Willersbau Zellescher Weg 12-14
- Umfang / contact hours: 4+2
- Zeit / time:
Di / Tue 5. DS (14:50-16:20), WIL A 124
Mi / Wed 5. DS (14:50-16:20), WIL A124
- Übungen / Tutorials:
Do / Thu 3. DS (11:10-12:40), WIL C 103
- Beginn / begin: 1 Semesterwoche / 1st week of term
- Niveau / level: ab 6. Semester / 3rd year +
- Unterrichtssprache / language: Deutsch on request: English
|
|
- Curriculum (indicative): An introduction to Brownian motion (and more general Markov processes), sample path properties, generators & semigroups, and stochastic calculus.
- Prerequisites: A course in mathematical probability, in particular (discrete) martingales.
- Language option: The course will be offerecd in english upon request (i.e. Dutch model: if any person in the audience does not speak German, the course will be held in English). Please contact me before the term starts.
- Literature:
D. Revuz, M. Yor: Continuous Martingales and Brownian Motion, Springer 1999.
R. Schilling, L. Partzsch: Brownian motion. An introduction to stochastic processes. To appear.
Wentzell, A.D.: Theorie zufälliger Prozesse. Birkhäuser 1979.
- Examinations: This course is an eligible topic in any Diploma examination in pure or applied mathematics.
|
|
