Course

In our last lessons (4., 5., 11., and 12. April) we completed the proof of our main result on stochastic linear filtering theory (Ch. 6 in the book of ?ksendal). Further, we studied the (strong) Markov property of Ito-diffusions and introduced the concept of a generator of such processes (Ch.7 in ?ksendal).

Next week (18., 19. April) we aim at using the concept of a generator to derive the famous Dynkin formula, which can be e.g. applied to the study of exit times. In addition, we also want to discuss a central result in stochastic analysis, that is Girsanov?s theorem, which has a variety of important applications to e.g. non-linear filtering theory or mathematical finance (Ch. 7 in ?ksendal).