Stochastic Processes (MAGIC089) |
GeneralThis course is part of the MAGIC core. Description
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.
SemesterSpring 2019 (Monday, January 21 to Friday, March 29) Hours
Timetable
PrerequisitesMeasure theory and integration. Basics of measure theoretical probability.
Syllabus
Bibliography
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