MAGIC089: Stochastic Processes

Course details

A core MAGIC course

Semester

Autumn 2024: Monday, October 7th to Friday, December 13th

Hours

Live lecture hours: 10

Recorded lecture hours: 0

Total advised study hours: 40

Timetable

Fridays: 12:05 - 12:55 (UK)

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 13th January 2025 at 00:00 and is due in before Monday 27th January 2025 at 11:00.

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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