Topics to be covered: Levy processes. Stochastic integration theory for semimartingales. Stochastic Differential Equations: weak solutions and martingale problem; strong solutions and stochastic flows; numerical methods; derivative flows and Malliavin calculus.

Lecture Notes:

• The Lecture Notes Stochastic Analysis are prepared during the course and made available here. Please send corrections (including minor typos) to David Aschenbrücker.The notes Introduction to Stochastic Analysis contain the material covered in last year's Bachelor course Grundzuege der Stochastischen Analysis.