MAGIC089: Stochastic Processes

Course details

A core MAGIC course

Semester

Autumn 2022
Monday, October 3rd to Friday, December 9th

Hours

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

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

  • JB

    Dr Jochen Broecker

    University
    University of Reading

Bibliography

No bibliography has been specified for this course.

Assessment

The assessment for this course will be released on Monday 9th January 2023 and is due in by Saturday 21st January 2023 at 23:59.

Assessment for all MAGIC courses is via take-home exam which will be made available at the release date (the start of the exam period).

You will need to upload a PDF file with your own attempted solutions by the due date (the end of the exam period).

If you have kept up-to-date with the course, the expectation is it should take at most 3 hours’ work to attain the pass mark, which is 50%.

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

Files

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Lectures

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