Theory of stochastic calculus
MATH-431
Announcements
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Description
Lectures: Monday from 8:15 to 10:00 a.m. The main course materials are presented during the lectures. The topics that are covered are listed on Moodle each week.
Problem Sessions: Monday from 10:15 to 12:00. The problems make use of the material from the lectures, and future lectures may make use of material discussed during the problem session. It is important to do the problems so as to achieve a deeper understanding of the material. There is no work to hand in. The solutions to the problems are posted on Moodle about one week after the problem session.
Bibliography:
H.H. Kuo, Introduction to Stochastic Integration (2006)
J.-F. Le Gall, Brownian motion, martingales and stochastic calculus (2016)
Final Exam: Thursday, 22.01.2026 from 10h15 to 12h15 in CM 1 121.
Problem Sessions: Monday from 10:15 to 12:00. The problems make use of the material from the lectures, and future lectures may make use of material discussed during the problem session. It is important to do the problems so as to achieve a deeper understanding of the material. There is no work to hand in. The solutions to the problems are posted on Moodle about one week after the problem session.
Bibliography:
H.H. Kuo, Introduction to Stochastic Integration (2006)
J.-F. Le Gall, Brownian motion, martingales and stochastic calculus (2016)
Final Exam: Thursday, 22.01.2026 from 10h15 to 12h15 in CM 1 121.