Past, present, future: Seminar: No …

Past, present, future:

Seminar: No seminar March 15th. Next March 22nd.

Lectures:

The Feb 3rd lecture: as announced in the Feb 24th message below, including the "-- probably --" part. Yet to do: Update the note with "what do you need to know".

The Feb 10th lecture covered

• Brownian motion (and the Poisson process);
• Basic properties of Brownian motion;
• The Itô integral (wrt. Brownian motion);
• The formulae d(B^2(t)) = 2 B(t) dB(t) + dt and more generally d g(B(t)) = g'(B(t)) dB(t) + g''(B(t)) dt / 2.

Next lecture:

• The Itô formula in full generality (no proof)
• Stochastic differential equations: concept
• Geometric Brownian motion and the Ornstein--Uhlenbeck process: the SDEs, the solutions and their properties
• Dynkin's formula and, if time: martingales.

- Nils