Stochastic Differential Equations

Stochastic Differential Equations

Prof. Dr. Christian Bender

This lecture course covers the theory of weak and strong solutions of stochastic differential equations and their applications to continuous-time financial models.

Topics include:

• Linear differential equations with additive noise
• Ito calculus (including Ito’s formula)
• Strong solutions to stochastic differential equations
• Weak solutions to stochastic differential equations
• Girsanov’s theorem and the martingale representation theorem
• Applications to arbitrage and pricing in continuous-time finance

 

Lectures

Mondays, 12:15-1:45pm, Hörsaal III (building E2 5).

 

Tutorials

Wednesdays, 09:15 -10:00am, Seminarraum 9 (building E2 4). Start date: 24/04.

 

Language

The course (lectures and tutorials) will be taught in English, unless all participants agree on German.  The oral exam can be taken in English or in German.

 

Recommended Prerequisites

• Stochastik I
• Stochastics II 

 

References

• Karatzas & Shreve, Brownian Motion and Stochastic Calculus, Springer
• Øksendal, Stochastic Differential Equations, Springer