MATS528: MA3: Five Lectures on Brownian Motion and Diffusions (JSS24)

Course contents

In these five lectures we discuss topics like one-dimensional diffusions, Bessel processes, excursions, logistic SDE, perpetual integral functionals of diffusions, and maximum increase and decrease of Brownian motion. The course is mainly based on the lecturers’ and their collaborators’ earlier and more recent research on the above listed topics. After an introductory lecture on diffusions, each lecture forms its own entity on a particular problem. Applications, e.g., in molecular biology and mathematical finance are indicated.