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19300-01 - Lecture with practical courses: Random processes: Theory and applications from physics to finance 4 CP

Semester fall semester 2021
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).
- 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 22nd at 10:15h. Currently, it is planned to give the lecture in the classroom.

 

Language of instruction English
Use of digital media No specific media used
Course auditors welcome

 

Interval weekly
Date 22.09.2021 – 22.12.2021
Time Wednesday, 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday, 10.15-12.00 Physik, Seminarzimmer 3.12
Date Time Room
Wednesday 22.09.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 22.09.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 29.09.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 29.09.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 06.10.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 06.10.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 13.10.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 13.10.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 20.10.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 20.10.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 27.10.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 27.10.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 03.11.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 03.11.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 10.11.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 10.11.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 17.11.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 17.11.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 24.11.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 24.11.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 01.12.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 01.12.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 08.12.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 08.12.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 15.12.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 15.12.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 22.12.2021 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 22.12.2021 10.15-12.00 Physik, Seminarzimmer 3.12
Modules Module Specialisation: Physics (Master's Studies: Nanosciences)
Module: Specialisation (Master's Studies: Physics)
Vertiefungsfächer Theorie und Vertiefungsfächer Biologie (Master's Studies: Computational Biology and Bioinformatics)
Assessment format continuous assessment
Assessment registration/deregistration Reg./dereg.: course registr./cancel registr. via MOnA
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

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