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. The general theory of stochastic processes is studied. The stochastic integral is introduced and the Ito formula derived.
SemesterSpring 2020 (Monday, January 20 to Friday, March 27) Hours
Timetable
PrerequisitesMeasure theory and integration. Basics of measure theoretical probability, for example in the sense of the first 5 chapters in Leo Breiman's book Probability.
Syllabus
Other courses that you may be interested in: Bibliography
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Full marks for this sheet corresponds to 50 marks. You can answer all the question (100 marks possible) and all marks achieved will be added. The final result will be capped at 50 marks.
Stochastic processes
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