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 2019 (Monday, January 21 to Friday, March 29)
Measure theory and integration. Basics of measure theoretical probability.
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The assessment will be given by a take home exam during the exam period. The exam sheet will contain more marks than necessary to obtain the full mark for the assignment. Details will be given on the assignment sheet itself.
Stochastic Process Exam
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