forelesning/lesson

In our last lessons (17., 18., 24., 25, 31. Oct. and 1., 7., 8. Nov.) 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 (Ch. 7 in ?ksendal).

Next time (14., 15. Nov.) 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).