After successful completion of the course, students are able to...
Stochastic Fubini theorem, existence of weak solutions of stochastic differential equations, Yamada-Watanabe condition for pathwise uniqueness, introduction to Markov processes, Doob-Meyer decomposition, local time of Brownian motion, general stochastic integratio
The basic contents and concepts are presented by the head of the LVA and illustrated and discussed with the help of examples. Selected topics are presented by the participants, based on the lecture notes of the course.
The performance is assessed by an oral examination at the end of the semester.See: https://fam.tuwien.ac.at/lehre/pr/
