Wendelin Werner: Katalogdaten im Frühjahrssemester 2021 |  |
| Name | Herr Dr. Wendelin Werner |
| URL | http://www.math.ethz.ch/~wewerner |
| Departement | Mathematik |
| Beziehung | Ordentlicher Professor |
| Nummer | Titel | ECTS | Umfang | Dozierende | |
|---|---|---|---|---|---|
| 401-3600-21L | Student Seminar in Probability Theory  Limited number of participants. Registration to the seminar will only be effective once confirmed by email from the organizers. | 4 KP | 2S | W. Werner, J. Bertoin, V. Tassion | |
| Kurzbeschreibung | |||||
| Lernziel | |||||
| 401-3642-00L | Brownian Motion and Stochastic Calculus  | 10 KP | 4V + 1U | W. Werner | |
| Kurzbeschreibung | This 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. | ||||
| Lernziel | This 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. | ||||
| Skript | Lecture 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 / Besonderes | Familiarity 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). | ||||
| 401-5600-00L | Seminar on Stochastic Processes | 0 KP | J. Bertoin, A. Nikeghbali, B. D. Schlein, V. Tassion, W. Werner | ||
| Kurzbeschreibung | Forschungskolloquium | ||||
| Lernziel | |||||