MAGIC089: Stochastic Processes

Course details

A core MAGIC course

Semester

Spring 2018
Monday, January 22nd to Friday, March 16th; Monday, April 23rd to Friday, May 4th

Hours

Live lecture hours
10
Recorded lecture hours
0
Total advised study hours
0

Timetable

Fridays
10:05 - 10:55

Announcements

Extra Lectures
  • Week 10 Thu 3 May 11:05 - 11:55
  • Week 10 Thu 3 May 16:05 - 16:55
  • Week 10 Fri 4 May 13:05 - 13:55

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.

Prerequisites

Measure theory and integration. Basics of measure theoretical probability.

Syllabus

  • Introduction to general theory of stochastic processes
  • Construction of Brownian motion
  • Transformation invariances of Brownian Motion
  • Path properties of Brownian motion
  • Stochastic Integration
  • Ito calculus
  • One example of a stochastic differential equation

Lecturer

  • TK

    Dr Tobias Kuna

    University
    University of Reading

Bibliography

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Assessment

The assessment for this course will be released on Monday 7th May 2018 and is due in by Monday 21st May 2018 at 23:59.

The course will be assessed by a single take-home exam paper in May which should be completed during a 2 weeks time and submitted via the Magic website. You can answer all questions and 50 marks is the maximum you can achieve. The paper contains more than 50 marks and hence not all questions need to be answered to obtain full marks. Submit your answer either handwritten and scanned or written in LaTex via the Magic website. No assignments have been set for this course.

Please note that you are not registered for assessment on this course.

Files

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Lectures

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