**Announcement: No lecture on February 23 because of pension strike action :(**

**Example classes are taking place.**

**Please check again for future dates!**

*Time and Location:* M-W-F, 9-10am; lectures in room MR5; example classes in room MR14

*Lectures:* Roland Bauerschmidt rb812, *Example classes:* Daniel Heydecker dh489

This course is an introduction to Itô calculus, in Part III of the Cambridge Tripos.

**Announcement: No lecture on February 23 because of pension strike action :(**

**Example classes are taking place.**

**Please check again for future dates!**

*Stochastic calculus for continuous processes.*Martingales, local martingales, semi-martingales, quadratic variation and cross-variation, Itô's isometry, definition of the stochastic integral, Kunita-Watanabe theorem, and Itô's formula.*Applications to Brownian motion and martingales.*Lévy characterization of Brownian motion, Dubins-Schwarz theorem, martingale representation, Girsanov theorem, conformal invariance of planar Brownian motion, and Dirichlet problems.*Stochastic differential equations.*Strong and weak solutions, notions of existence and uniqueness, Yamada-Watanabe theorem, strong Markov property, and relation to second order partial differential equations.*Stroock-Varadhan theory.*Diffusions, martingale problems, equivalence with SDEs, approximations of diffusions by Markov chains.

The example sheets will be posted here during the course of the term.

- Example Sheet 1 (posted January 19). Questions to hand in: 7 and 12 (without bonus).
- Example Sheet 2 (posted February 2). Questions to hand in: 3 and 5.
- Example Sheet 3 (posted February 16).
- Example Sheet 4 (to be posted March 2).

The example classes will take place in MR14. The tentative dates are:

- Th 8 Feb, Fr 9 Feb, 1-3pm
- Th 22 Feb, Fr 23 Feb, 1-3pm
- Th 8 Mar, Fr 9 Mar, 1-3pm

I will mostly follow the following references:

- J.-F. Le Gall, Brownian Motion, Martingales, and Stochastic Calculus, Springer, 2016.
- N. Berestycki, Stochastic Calculus.
- M. Tehranchi, Stochastic Calculus.
- V. Silvestri, Stochastic Calculus.
- J. Miller, Stochastic Calculus.
- J. Norris, Advanced Probability.
- P. Sousi, Advanced Probability.
- J. Norris, Probability and Measure.