| Kommentar |
Voraussetzungen: Elements of Stochastik II, in particular martingales with discrete time Inhalt: Brownian motion, martingales in continuous time, stochastic integration, Ito's calculus; Markov processes, stochastic differential equations, strong and weak solutions, the martingale problem, partial differential equations of the parabolic type, applications to Stochastical Finance. |
