Module MA4610-KP05
Stochastic processes (StoProKP05)
Duration
1 Semester
Turnus of offer
normally each year in the winter semester
Credit points
5
Course of studies, specific fields and terms:
- Master CLS 2023, compulsory, mathematics
- Master CLS 2016, compulsory, mathematics
Classes and lectures:
- Stochastic processes (exercise, 1 SWS)
- Stochastic processes (lecture, 2 SWS)
Workload:
- 20 hours exam preparation
- 85 hours private studies and exercises
- 45 hours in-classroom work
Contents of teaching:
- Conditional expectation
- Stochastic processes
- Filtrations
- Martingales
- Brownian motion
Qualification-goals/Competencies:
- To develop some insight into stochastic processes based on selected classes of processes
- Training of a stochastic way of thinking
- Application of basic ideas and concepts of stochastic analysis
Grading through:
- written exam
Responsible for this module:
Literature:
- L. C. G. Rogers, D. Williams : Diffusions, Markov Processes, and Martingales, Vol. 1, Foundations 2nd edition, Cambridge University Press, 2000
- L. C. G. Rogers, D. Williams : Diffusions, Markov Processes, and Martingales, Vol. 2, Ito Calculus 2nd edition, Cambridge University Press, 2014
- Ioannis Karatzas, Steven E. Shreve : Brownian Motion and Stochastic Calculus Springer Verlag, 2nd edition, 1991
Language:
- English, except in case of only German-speaking participants
Notes:
Admission requirements for taking the module:- None (The competencies of the modules listed under 'Requires' are needed for this module, but are not a formal prerequisite)
Admission requirements for participation in module examination(s):
- Examination prerequisites can be defined at the beginning of the semester. If preliminary work is defined, it must have been completed and positively evaluated before the first examination.
Module exam(s):
- MA4610-L1: Stochastic processes, written exam, 90 min, 100 % of module grade
Last Updated:
22.02.2022