Credits: 5

Schedule: 14.04.2020 - 22.05.2020

Contact information for the course (applies in this implementation): 

Kalle Kytölä (

Details on the course content (applies in this implementation): 

This course introduces
you to the key techniques for working with Brownian motion, including
stochastic integration, martingales, and Ito's formula.


  • Brownian motion
  • Stochastic integral
  • Itō's formula and applications

Elaboration of the evaluation criteria and methods, and acquainting students with the evaluation (applies in this implementation): 

exercises and exam

Details on the course materials (applies in this implementation): 


  • Le Gall, J.-F. Brownian Motion, Martingales, and Stochastic Calculus. Graduate Texts in Mathematics, volume 274, 2016.

Course Homepage (valid 01.08.2018-31.07.2020):

Grading Scale (valid 01.08.2018-31.07.2020): 



Registration and further information