News.
Tutorials: each week on Wednesday, 12:00-12:45, SR 1 (U.37). First meeting on 30.10.2019.
Lecturer.
PD Dr. Yana A. Kinderknecht , Geb. E2 4, Room. 209, Tel.: 302-4743Content.
Conditions.
Time and place: Thursdays, 12:00 -14:00, SR 9, Geb. E2 4.
Preliminary knowledge: Necessary: Analysis I-II, Probability. Not necessary but helpful: Functional Analysis, Stochastic Processes (Stochastik II).
Language: English or German (by agreement).
Certificate.
Credit points: 4,5 CP.
Criteria for obtaining the certificate: 1. Active participation in lectures and tutorials. 2. Passing of oral exam.
Literature.
Main literature:
[1] Schilling R.L., Partzsch L. Brownian motion. An introduction to stochastic processes. 2014.
[2] Lörinczi J., Hiroshima F., Betz V. Feynman-Kac-Type Theorems and Gibbs Measures on Path Space. 2019.
Additional literature:
[1] Simon B. Functional Integration and Quantum Physics. 1996.
[2] Reed M., Simon B. Methods of Modern Mathematical Physics. Vol. 2. 1975.
[3] Karatzas I., Shreve S.E. Brownian Motion and Stochastic Calculus. 1988.
[4] Freidlin M. Functional Integration and Partial Differential Equations. 1985.
[5] Oksendal B. Stochastic Differential Equations.1998.
[6] Einstein A. Investigations on the Theory of Brownian Movement. 1956 (Dover, New York)
[7] Doss H. Sur une Resolution Stochastique de l'Equation de Schrödinger a Coefficients Analytiques. Comm. Math. Phys. 73 (1980), 247-264.
[8] Metzler R., Klafter J. The Random Walk's Guide to Anomalous Diffusion: a Fractional Dynamics Approach. Physics Reports 339 (2000), 1-77.