Stochastic Calculus and Diffusion Process (CS)

Course details

Here is a detailed introduction to the CS course.

• Professeur: Nicolas Fournier
• Course official web: https://perso.lpsm.paris/~nfournier/
• Class format: Lecture course with TDs
• ECTS: 9 ECTS
• Content:
  • Brownian Motion
  • Filtrations and Martingales
  • Continuous semimartingalles
  • Stochastic Integration
  • Stochastic Differential Equations
• Difficulty coefficient: ⭐⭐⭐⭐⭐
• Characteristics:
  • This course is taught according to Jean-François Le Gall’s book “Brownian Motion, Martingales, and Stochastic Calculus”.
  • Requires a solid ability in martingale convergence and martingale.
  • The exams are very difficult, but the teacher’s style of setting questions is very consistent each time (reflected in the methods for solving them)

Here is the textbook of this Course. [pdf]

TDs

• TDs in PDF [pdf]
• Solutions of TDs in PDF [pdf]

Previous Examens

• 2021-2022: [session1]; No resources for session2
• 2022-2023: [session1]; No resources for session2
• 2023-2024: [session1]; No resources for session2
• 2024-2025: [session1]; No resources for session2

Additional materials

“Brownian Motion, Martingales, and Stochastic Calculus” by Jean-François Le Gall

• Book in PDF [pdf]
• Solutions of this book exercises in PDF [pdf]

“Brownian Motion” by Peter Mörters and Yuval Peres

• Lecture notes in PDF [pdf]