Stochastic Processes 360-MS2-1PSa
Course profile: academic
Form of study: stationary
Course type: obligatory
Academic discipline:science and natural science, field of study in the arts and science: mathematics
Year: 1, semester: 2
Prerequisities:
lecture 30 h. exercise class 30 h.
Verification methods: lectures, exercises, consultations, studying literature, home works, discussions in groups.
ECTS credits: 6
Balance of student workload:
attending lectures15x2h = 30h
attending exercise classes 15x2h = 30h
preparation for classes 7x3h = 21h
completing notes after exercises and lectures 7x2h = 14h
consultations 12x1h = 12h
the final examination: preparation.and take 12h + 3h = 15h
control works: repeating the material and preparation 3x4h = 12h
Quantitative description
Direct interaction with the teacher: 77 h., 3 ECTS
Rodzaj przedmiotu
Koordynatorzy przedmiotu
Efekty kształcenia
Student has ability for modelling financial and actuarial phenomena by stochastic processes.
Student knows:
1. the notion of stochastic process and its characteristics KA7_WG01 , KA7_KK02
2. the notion and properties of conditional expected value KA7_WG02
3. important examples of discrete and continuous stochastic processes KA7_WG10 , KA7_UW02
4. Markov chains and their properties KA7_UW11, KA7_UW16
5. Wiener process and its properties KA7_WG11
6. the notion and applications of Ito integral KA7_WG10 , KA7_UK02
7. Elements of stochastic differential equations KA7_WG06, KA7_WG11 , KA7_KK01
Kryteria oceniania
The overall form of credit for the course: final exam.
Literatura
1. P. Billingsley Probability and measure, Wiley Series in Probability and Mathematical Statistics, 1995
2. I. Gichman, A. Skorochod, The Theory of Stochastic Processes, Springer Verlag 1974
3. I. Karatzas, S. E. Shreve Brownian Motion and Stochastic Calculus Springer 1991.
4. T. Brzeźniak, T. Zastawniak Basic stochastic processes, A Course Through Exercises, Springer Verlag 1999
5. F. Klebaner Introduction To Stochastic Calculus With Applications, Imperial College Press, 2005
6. T.Mikosch Elementary stochastic calculus with finanse, World Scientific Publishing 2004
Więcej informacji
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