Stochastic Differential Equations

Recommended Prerequisites

The course requires knowledge of the theory of stochastic processesat the level of the courses: Stochastik I, Stochastics II.

Lectures

Mondays, 12.15-13.45 pm, building E2 4, SR 10
Wednesdays, 8.30-10.00 am, building E2 4, SR 10

The course takes place in the first half of the summer term (end date: 20 May 2026).

Tutorial

Tuesdays,12.15-13.45 pm, building E2 5, SR 1 (start date: 14 April 2026; end date: 2 June 2026)

Content

This lecture provides an introduction to Itō's calculus and covers the theory of strong and weak solutions of stochastic differential equations.

Course Material

The course material can be found on the moodle page of the course.

Organization

Friedrich Leblang (leblang[at]math.uni-sb.de)