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.