Winter Term 2023/24
Stochastische Differentialgleichungen (Winter 2023–24)
- Lecturer
- Dr. Abhishek Chaudhary
- Lectures
- Fri. 12:00 – 14:00, S06 (C5H05)
- Exercise classes
- Fri. 15:00, S07
Current Updates#
- First homework: will be available online on Friday, October 27th.
- Please submit your homework before 12:00 on the specified deadline. Drop it into the post box (Room A16).
- (06.10.2023) The course homepage is now online.
Lecture#
Lectures are held every Friday from 12:00 – 14:00 in room S06 (C5H05), Building C. The first lecture was on 20th October 2023.
Tutorial#
Tutorials take place every Friday at 15:00, starting from 27th October 2023 in room S07, Building C.
Important Links#
Exercise Sheets#
- Exercise Sheet 1
- Exercise Sheet 2
- Exercise Sheet 3
- Exercise Sheet 4
- Exercise Sheet 5
- Exercise Sheet 6
- Exercise Sheet 7
- Exercise Sheet 8
References#
- Sandra Cerrai: Second Order PDEs in Finite and Infinite Dimension, Springer, 2001
- Bernt Øksendal: Stochastic Differential Equations, Springer, 2000
- Ioannis Karatzas & Steven E. Shreve: Brownian Motion and Stochastic Calculus, 2nd ed., Springer, 1991