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401-3642-00L 8 Credits BSC , NDS , MSC D-GESS , D-ARCH , D-MATH , D-BAUG , D-MTEC , D-PHYS
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Stochastic Processes and Stochastic Analysis

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR 3.2

Last Updated: 2026-02-05 15:19:16

Abstract

This is a first course on continuous-time stochastic processes, with a particular view on aspects and tools that are important for mathematical finance. Topics planned include- Brownian motion- Markov processes- Stochastic calculus- Levy processes

Objective

This is a first course on continuous-time stochastic processes, with a particular view on aspects and tools that are important for mathematical finance. Topics planned include - Brownian motion: definition, construction, some important properties - Markov processes: basics, strong Markov property, generators and martingale problems - Stochastic calculus: semimartingales, stochastic integrals, Ito formula, Girsanov transformation, stochastic differential equations - Levy processes: basic notions, some important properties

Content

This is a first course on continuous-time stochastic processes, with a particular view on aspects and tools that are important for mathematical finance. Topics planned include - Brownian motion: definition, construction, some important properties - Markov processes: basics, strong Markov property, generators and martingale problems - Stochastic calculus: semimartingales, stochastic integrals, Ito formula, Girsanov transformation, stochastic differential equations - Levy processes: basic notions, some important properties

General Information

Language
English
Levels
BSC , NDS , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Stochastic Processes and Stochastic Analysis
  • Wed 10:15-11:00 (HG D 5.2)
  • Thu 08:15-10:00 (HG D 5.2)
3 h weekly
exercise Stochastic Processes and Stochastic Analysis
  • Wed 11:15-12:00 (HG D 3.2)
  • Wed 11:15-12:00 (HG D 5.2)
  • Wed 11:15-12:00 (HG E 33.1)
  • 02.05 Date 10:15-11:00 (HG D 3.2)
  • 02.05 Date 10:15-12:00 (HG E 22)
1 h weekly

Offered In