Course details
Semester
- Autumn 2022
- Monday, October 3rd to Friday, December 9th
Hours
- Live lecture hours
- 10
- Recorded lecture hours
- 0
- Total advised study hours
- 40
Timetable
- Mondays
- 11:05 - 11:55 (UK)
Description
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
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 at 00:00 and is due in before Sunday 22nd 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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