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 2020 (Monday, January 20 to Friday, March 27)
Measure theory and integration. Basics of measure theoretical probability.
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