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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