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58951-01 - Lecture: Stochastic Analysis (8 CP)
| Semester | fall semester 2020 |
| Further events belonging to these CP |
58951-01 (Lecture) 58951-02 (Practical course) |
| Course frequency | Irregular |
| Lecturers | Jiří Černý (jiri.cerny@unibas.ch, Assessor) |
| Content | This course gives an introduction to the theory of stochastic processes in continuous time. The following topics will be discussed: - Brownian motion - Martingales - Markov processes - Stochastic calculus - Stochastic differential equations The lecture is the first part of a two semester master course. Its second part, in FS21, will give an introduction to stochastic models used in population biology. |
| Learning objectives | Acquisition of familiarity with the objects and tools of stochastic analysis. |
| Bibliography | Links to lecture notes and literature will be made available on ADAM and on the webpage of the lecture. |
| Comments | The content of the lectures in form of handwritten notes from the lecture will be put on ADAM. Video recordings will be available on demand. Falls bevorzugt kann die Vorlesung auf Deutsch gehalten werden. |
| Weblink | Webseite der Vorlesung |
| Admission requirements | Wahrscheinlichkeitstheorie is recommended but not requested. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Module Specialisation: Stochastics (Master's Studies: Mathematics) Module: Statistics and Computational Science (Master's Studies: Actuarial Science) Module: Theory of Finance (Master's Studies: Actuarial Science) |
| Assessment format | continuous assessment |
| Assessment details | Bestehen einer mündlichen Prüfung (30 min). |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | no repeat examination |
| Scale | Pass / Fail |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Science, studiendekanat-philnat@unibas.ch |
| Offered by | Fachbereich Mathematik |