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Module MA4610-KP05

Stochastic processes (StoProKP05)

Duration:


1 Semester
Turnus of offer:


normally each year in the winter semester
Credit points:


5
Course of studies, specific field and terms:
  • Master CLS 2016 (compulsory), mathematics, 1st or 3rd semester
  • Master CLS 2023 (compulsory), mathematics, 1st or 3rd semester
Classes and lectures:
  • Stochastic processes (exercise, 1 SWS)
  • Stochastic processes (lecture, 2 SWS)
Workload:
  • 20 Hours exam preparation
  • 85 Hours private studies and exercises
  • 45 Hours in-classroom work
Contents of teaching:
  • Conditional expectation
  • Stochastic processes
  • Filtrations
  • Martingales
  • Brownian motion
Qualification-goals/Competencies:
  • To develop some insight into stochastic processes based on selected classes of processes
  • Training of a stochastic way of thinking
  • Application of basic ideas and concepts of stochastic analysis
Grading through:
  • written exam
Requires:
Responsible for this module:
Teachers:
Literature:
  • L. C. G. Rogers, D. Williams: Diffusions, Markov Processes, and Martingales, Vol. 1, Foundations - 2nd edition, Cambridge University Press, 2000
  • L. C. G. Rogers, D. Williams: Diffusions, Markov Processes, and Martingales, Vol. 2, Ito Calculus - 2nd edition, Cambridge University Press, 2014
  • Ioannis Karatzas, Steven E. Shreve: Brownian Motion and Stochastic Calculus - Springer Verlag, 2nd edition, 1991
Language:
  • English, except in case of only German-speaking participants
Notes:

Prerequisite tasks for taking the exam can be announced at the beginning of the semester. If any prerequisite tasks are defined, they must be completed and passed before taking the exam for the first time.

Letzte Änderung:
22.11.2021