VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-3642-DRL 2 Credits DR D-MATH

Brownian Motion and Stochastic Calculus

Lecturers & Examiners: Prof. Dr. Dylan Possamaï
Only for ZGSM (ETH D-MATH and UZH I-MATH) doctoral students. The latter need to register at myStudies and then send an email to with their name, course number and student ID. Please see
VVZ CR n/a

Last Updated: 2026-02-05 16:37:26

Abstract

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.

Objective

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.

Resources

Lecture Notes

Lecture 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).

Learning Materials (Links)

General Information

Language
English
Levels
DR
Frequency
Yearly recurring

Examination

Type
ungraded semester performance
To get the credit points for this course, students can either regularly hand in solutions to the exercises, which will be assessed, or pass an oral exam after the semester. For the latter, details are to be arranged directly between student and lecturer

Registration & Places

Priority: Registration for the course unit is only possible for the primary target group

Course Components

Type Title Time & Place Hours
lecture Brownian Motion and Stochastic Calculus
  • Tue 08:15-10:00 (HG E 3)
  • Thu 08:15-10:00 (HG E 3)
4 h weekly
exercise Brownian Motion and Stochastic Calculus
Groups are selected in myStudies.
  • Fri 08:15-09:00 (HG G 26.5)
  • Fri 09:15-10:00 (HG G 26.5)
  • Fri 12:15-13:00 (HG G 26.3)
  • 07.06 Date 09:15-10:00 (HG D 3.2)
1 h weekly

Offered In