Lecture on May 13

Written on 07.05.24 (last change on 07.05.24) by Christian Bender

The lecture on May 13 will take place from 12:30 to 2:00 pm in Seminarraum 9. 

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



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



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



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 



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