Stochastic Processes (MAGIC089)
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This course is part of the MAGIC core.
The course will introduce the basic concept of stochastic processes. As special and important example the Brownian motion is considered. Different constructions for Brownian motion are given and the main properties of Brownian motion are derived and proven. The stochastic integral is introduced and the Ito formula derived.
Spring 2017 (Monday, January 23 to Friday, March 31)
Measure theory and integration. Basics of measure theoretical probability.
• Construction of Brownian motion • Path properties • Transformation invariances of Brownian Motion • Path properties of Brownian motion • Tail events and zero-one laws • Stochastic Integration • Ito calculus • Asymptotic properties of processes: the law of iterated logarithm
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The course will be assessed by a single take-home exam paper in April which should be completed during a 2 weeks time and submitted via the Magic website. You can answer all questions and 50 marks is the maximum you can achieve. The paper contains more than 50 marks and hence not all questions need to be answered to obtain full marks. Submit your answer either handwritten and scanned or written in LaTex via the Magic website. No assignments have been set for this course.
Assignment Stochastic Process 2017
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