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58951-01 - Lecture: Stochastic Analysis (8 CP)
| Semester | fall semester 2022 |
| 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 FS23, will discuss Gaussian processes and fields. |
| 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 | Falls bevorzugt kann die Vorlesung auf Deutsch gehalten werden. |
| Weblink | Webseite der Vorlesung |
| Admission requirements | Wahrscheinlichkeitstheorie is strongly recommended but not requested. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Monday | 10.15-12.00 | Spiegelgasse 5, Seminarraum 05.002 |
| wöchentlich | Tuesday | 08.15-10.00 | Spiegelgasse 5, Seminarraum 05.001 |
Dates
| 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 | PASS/FAIL: Solving homework in exercises + 30 min oral exam at the end of the semester. |
| 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 |