Instruction

Name Cr Method of study Time Location Organiser
Stochastic analysis I 5 Cr Lecture Course 2.9.2019 - 18.10.2019
Stochastic analysis I 5 Cr Lecture Course 17.1.2018 - 1.3.2018

Target group

Optional course.

Master's Programme in Mathematics and Statistics is responsible for the course.

The course belongs to the Mathematics and Applied mathematics module.

Prerequisites

Probability theory I,II, and their prerequisites

Learning outcomes

Stochastic calculus for semimartingales

Timing

Recommended time/stage of studies for completion: 1. or 2. year

Term/teaching period when the course will be offered: varying

Contents

The course is focused on stochastic integration theory, with respect to martingales and processes with finite variations, including continuous martingales and processes with jumps.

Study materials

Lecture notes, Bass "Stochastic Processes" CUP

Completion methods

Exam, other methods will be described later