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

Semester fall semester 2024
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 18 at 10:15h.

 

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

 

Interval Weekday Time Room
wöchentlich Wednesday 09.00-10.15 Physik, Seminarzimmer 3.12
wöchentlich Wednesday 10.15-12.00 Physik, Seminarzimmer 3.12

Dates

Date Time Room
Wednesday 18.09.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 18.09.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 25.09.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 25.09.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 02.10.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 02.10.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 09.10.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 09.10.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 16.10.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 16.10.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 23.10.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 23.10.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 30.10.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 30.10.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 06.11.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 06.11.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 13.11.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 13.11.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 20.11.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 20.11.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 27.11.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 27.11.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 04.12.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 04.12.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 11.12.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 11.12.2024 10.15-12.00 Physik, Seminarzimmer 3.12
Wednesday 18.12.2024 09.00-10.15 Physik, Seminarzimmer 3.12
Wednesday 18.12.2024 10.15-12.00 Physik, Seminarzimmer 3.12
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 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

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