Core Courses
The BMS Core Course sequences in RTA 3 cover the fundamental concepts, results, methods of stochastic processes.
Stochastic Processes I: Discrete Time
Stochastic processes I develops the tools and methods to describe and study stochastic processes evolving in discrete time. Key notions are martingales and Markov chains. Brownian motion is constructed and discussed as the prime example of a stochastic process evolving in continuous time.
Stochastic processes II is devoted to the study of stochastic processes in continuous time. The course introduces to Stochastic Analysis and explains how its tools such as Ito’s formula can be used to study the dynamics of continuous-time stochastic processes. Stochastic Differential Equations are analyzed and illlustrated as models for real-world applications from Finance, Biology, or Physics.
Spectrum of Advanced Courses
Courses are regularly offered on various advanced topics from the spectrum of our interests, including statistics of stochastic processes, mathematical finance, stochastic partial differential equations, rough paths and regularity structures, interacting particle systems, stochastic pro-cesses in evolution, stochastic processes in neuroscience, spatial stochastic point processes, stochastic control, Markov processes, Lévy processes, computational finance, large deviations.
