forelesning/lesson

In our last lessons (3., 4., 10. and 11. Oct.) we discussed the martingale representation theorem and the construction of strong solutions to SDE's (Ch. 4 and 5 in the book of ?ksendal). As an application of SDE theory we aim at studying next week (17. and 18. Oct.) stochastic filtering theory (Ch. 6 in ?ksendal).