MAGIC089: Stochastic Processes

Course details

A core MAGIC course


Spring 2021
Monday, January 25th to Friday, March 19th; Monday, April 26th to Friday, May 7th


Live lecture hours
Recorded lecture hours
Total advised study hours


10:05 - 10:55 (UK)


The course will introduce the basic concept of stochastic processes.

As special and important example the Brownian motion is considered.

The general theory for semi-martingales  is studied. The stochastic integral is introduced and the Ito formula derived. 


Measure theory and integration.

Basics of measure theoretical probability, for example in the sense of the first 5 chapters in Leo Breiman's book 



  • Introduction to general theory of stochastic processes 
  • Construction of Brownian motion 
  • General theory of stochastic processes 
  • Stochastic Integration 
  • Ito calculus 


  • TK

    Dr Tobias Kuna

    University of Reading


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The assessment for this course will be released on Monday 10th May 2021 at 00:00 and is due in before Tuesday 25th May 2021 at 11:00.

Results stated in the questions can be used in the later parts of the same question and the exam. Results from the lecture can be used when not requested otherwise. They need to be cited.

Full marks for this sheet corresponds to 50 marks. You can answer all the question (260 marks possible) and all marks achieved will be added. The final result will be capped at 100 marks. 

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


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