Levy Processes (SS 18)
- (11.04.18) The Homepage is available online.
- (11.04.18) The first class will be on Tuesday (17.04.2018).
- Tuesday: 12.00-14.00. Room no. S06
- Thursday: 12.00-14.00. Room no. C2A40
- It will be an oral examination. Time duration of the examination will be 20-25 minute.
- Criteria for sitting in the final examination will be based on the candidate's performance. Moreover, candidates are required minimum 60% attendance in the lecture to sit in the final exam.
- D. Applebaum: Levy Processes and Stochastic Calculus, Cambridge studies in advanced mathematics, 93 (2004).
- K-I. Sato: Levy Processes and Infinitely Divisible Distributions, Cambridge studies in advanced mathematics, 68 (1999).
- R. Cont & P. Tankov: Financial modelling with jump processes, Chapman & Hall/CRC Financial Mathematics Series (2004).
Ansprechpartner: Ananta Kumar Majee