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Semester | fall semester 2022 |
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 |
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 |