MAGIC089: Stochastic Processes

Course details

A core MAGIC course

Semester

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

Hours

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

Timetable

Thursdays
10:05 - 10:55

Course forum

Visit the MAGIC089 forum

Description

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. 

Prerequisites

Measure theory and integration.

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

Probability. 

Syllabus

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

Lecturer

  • TK

    Dr Tobias Kuna

    University
    University of Reading

Bibliography

Follow the link for a book to take you to the relevant Google Book Search page

You may be able to preview the book there and see links to places where you can buy the book. There is also link marked 'Find this book in a library' - this sometimes works well, but not always - you will need to enter your location, but it will be saved after you do that for the first time.

Assessment

Description

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. 

Assessment not available

Assessments are only visible to those being assessed for the course.

Files

Please log in to view course materials.

Lectures

Please log in to view lecture recordings.