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19300-01 - Lecture with practical courses: Random processes: Theory and applications from physics to finance (4 CP)
| Semester | fall semester 2025 |
| Course frequency | Every fall sem. |
| Lecturers | Jörg Lehmann (joerg.lehmann@unibas.ch, Assessor) |
| Content | Basics of probability theory; Random processes: General concepts; Markov processes: Master equation, Fokker-Planck equation, stochastic differential equations; Mathematical finance |
| Learning objectives | Basics of the theory of stochastic processes and an overview of selected applications |
| Bibliography | - N. G. van Kampen, Stochastic Processes in Physics and Chemistry, 3rd ed. (North Holland, Amsterdan, 1992). - C. W. Gardiner, Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences, 2nd ed. (Springer, Berlin, 2007). - Kurt Jacobs, Stochastic Processes for Phycisists, Understanding Noisy Systems (Cambridge University Press, New York, 2010) - P. Wilmott, S. Howison and J. Dewynne: The Mathematics of Financial Derivatives, A Student Introduction (Cambridge University Press, Cambridge, 1995). |
| Comments | Lecture will start September 24 at 10:15h, i.e., one week after semester start. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Wednesday | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| wöchentlich | Wednesday | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
Dates
| Date | Time | Room |
|---|---|---|
| Wednesday 17.09.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 17.09.2025 | 10.15-12.00 | --, -- |
| Wednesday 24.09.2025 | 09.00-10.15 | --, -- |
| Wednesday 24.09.2025 | 10.15-12.00 | --, -- |
| Wednesday 01.10.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 01.10.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 08.10.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 08.10.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 15.10.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 15.10.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 22.10.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 22.10.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 29.10.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 29.10.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 05.11.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 05.11.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 12.11.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 12.11.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 19.11.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 19.11.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 26.11.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 26.11.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 03.12.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 03.12.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 10.12.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 10.12.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Wednesday 17.12.2025 | 09.00-10.15 | Physik, Seminarzimmer 4.1 |
| Wednesday 17.12.2025 | 10.15-12.00 | Physik, Seminarzimmer 4.1 |
| Modules |
Module Specialisation: Physics (Master's Studies: Nanosciences) Module: Electives in Data Science (Master's Studies: Data Science) Module: Mathematical Foundations (Master's Studies: Data Science) Module: Specialisation (Master's Studies: Physics) Vertiefungsfächer Theorie und Vertiefungsfächer Biologie (Master's Studies: Computational Biology and Bioinformatics) |
| Assessment format | continuous assessment |
| Assessment details | Written exam after the end of the lecture. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,5 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Science, studiendekanat-philnat@unibas.ch |
| Offered by | Departement Physik |