Wendelin Werner: Catalogue data in Spring Semester 2019

Award: The Golden Owl
Name Dr. Wendelin Werner
URLhttp://www.math.ethz.ch/~wewerner
DepartmentMathematics
RelationshipFull Professor

NumberTitleECTSHoursLecturers
401-3600-19LStudent Seminar in Probability Theory: Restricted registration - show details
Limited number of participants.

Registration to the seminar will only be effective once confirmed by email from the organizers.
4 credits2SA.‑S. Sznitman, J. Bertoin, V. Tassion, W. Werner
AbstractSelected topics from Probability Theory will be discussed.
ObjectiveThe seminar is a natural complement to the material discussed in the lecture on probability theory in the 5th semester.
ContentThe seminar is centered around a topic in probability theory which changes each semester. Example of topics are random walks and electric networks, Markov chains, stochastic integrals, coupling methods, etc.
Prerequisites / NoticeThere is only a limited number of slots available for this seminar. Participation will only be effective once confirmed by the organizers.
401-3642-00LBrownian Motion and Stochastic Calculus Information 10 credits4V + 1UW. Werner
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).
401-5600-00LSeminar on Stochastic Processes Information 0 credits1KJ. Bertoin, A. Nikeghbali, B. D. Schlein, A.‑S. Sznitman, V. Tassion, W. Werner
AbstractResearch colloquium
Objective