MAGIC089: Stochastic Processes

Course details

A core MAGIC course

Semester

Spring 2019
Monday, January 21st to Friday, March 29th

Hours

Live lecture hours
10
Recorded lecture hours
0
Total advised study hours
40

Timetable

Thursdays
10:05 - 10:55

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

Description

The assessment will be given by a take home exam during the exam period. The exam sheet will contain more marks than necessary to obtain the full mark for the assignment. Details will be given on the assignment sheet itself.

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Files

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Lectures

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