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401-3642-00L 10 Credits BSC , MSC , NDS D-MATH

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Stochastic Processes and Stochastic Analysis

Lecturers & Examiners: Prof. Dr. Martin Schweizer

VVZ CR 3.2

Last Updated: 2026-02-05 15:29:11

Abstract

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

General Information

Language: English
Levels: BSC , MSC , NDS
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 10:15-12:00 (HG D 5.2) Thu 08:15-10:00 (HG D 5.2) 20.03 Date 12:15-14:00 (HG F 26.3)	4 h weekly
exercise	Stochastic Processes and Stochastic Analysis	Fri 09:15-10:00 (HG D 1.1) Fri 09:15-10:00 (HG D 7.2)	1 h weekly

Offered In

Mathematics Bachelor
- Core Courses and Electives
  - Core Courses
    - Core Courses: Applied Mathematics and Further Appl.-Oriented Fields (¬)
Mathematics Master
- Core Courses and Electives
  - Core Courses
    - Core Courses: Applied Mathematics and Further Appl.-Oriented Fields (¬)
MAS in Finance (For information and admission (and possibly more up-to-date information about the courses) see .)
- Optional Courses