MAGIC054: Applied stochastic processes

Course details

Semester

Autumn 2009
Monday, October 5th to Friday, December 11th

Hours

Live lecture hours
20
Recorded lecture hours
0
Total advised study hours
0

Timetable

Mondays
13:05 - 13:55
Tuesdays
13:05 - 13:55

Description

The aim of this course is to introduce the concept of random process and enable students to solve problems involving basic stochastic processes.

The brief outline of the content is as follows:

  • Basic probability and probability distributions change of variables, independence.
  • Chapman-Kolmogorov equation, Markov processes, Wiener process methods for solution of diffusion equation.
  • Stochastic integrals, stochastic differential equations, their properties and methods of solution.

Prerequisites

No prerequisites information is available yet.

Syllabus

No syllabus information is available yet.

Lecturer

  • AL

    Prof Alexei Likhtman

    University
    University of Reading

Bibliography

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Assessment

Attention needed

Assessment information will be available nearer the time.

Files

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Lectures

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