Martin Schweizer: Catalogue data in Spring Semester 2022

Name Prof. Dr. Martin Schweizer
FieldMathematik
Address
Professur für Mathematik
ETH Zürich, HG G 51.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 632 33 51
Fax+41 44 632 14 74
E-mailmartin.schweizer@math.ethz.ch
URLhttp://www.math.ethz.ch/~mschweiz
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
401-3642-DRLBrownian Motion and Stochastic Calculus Information Restricted registration - show details
Only for ETH D-MATH doctoral students and for doctoral students from the Institute of Mathematics at UZH. The latter need to send an email to Jessica Bolsinger (Link) with the course number. The email should have the subject „Graduate course registration (ETH)“.
2 credits4V + 1UM. Schweizer
AbstractThis 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.
ObjectiveThis 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.
Lecture notesLecture notes will be distributed in class.
Literature- 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).
Prerequisites / NoticeFamiliarity 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).
401-3642-00LBrownian Motion and Stochastic Calculus Information 10 credits4V + 1UM. Schweizer
AbstractThis course gives an introduction to Brownian motion and stochastic calculus. It includes the construction and properties of Brownian motion, basics of Markov processes in continuous time and of Levy processes, and stochastic calculus for continuous semimartingales.
ObjectiveThis course gives an introduction to Brownian motion and stochastic calculus. The following topics are planned:
- Definition and construction of Brownian motion
- Some important properties of Brownian motion
- Basics of Markov processes in continuous time
- Stochastic calculus, including stochastic integration for continuous semimartingales, Ito's formula, Girsanov's theorem, stochastic differential equations and connections with partial differential equations
- Basics of Levy processes
Lecture notesLecture notes will be made available in class.
Literature- R.F. Bass, Stochastic Processes, Cambidge University Press (2001).
- I. Karatzas, S. Shreve, Brownian Motion and Stochastic Calculus, Springer (1991).
- J.-F. Le Gall, Brownian Motion, Martingales, and Stochastic Calculus, Springer (2016).
- 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).
Prerequisites / NoticeFamiliarity 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).
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KB. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
ObjectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html