040688 UK Stochastic Processes (2022S)
Continuous assessment of course work
Labels
Inhalte, Ziele, Methoden, Leistungskontrolle siehe Homepage von I.Klein
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Mo 07.02.2022 09:00 to Mo 21.02.2022 12:00
- Registration is open from Th 24.02.2022 09:00 to Fr 25.02.2022 12:00
- Deregistration possible until Mo 14.03.2022 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
- Monday 07.03. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 14.03. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 21.03. 11:30 - 13:00 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 28.03. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 04.04. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 25.04. 11:30 - 13:00 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
- Monday 02.05. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 09.05. 11:30 - 13:00 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
- Monday 16.05. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
- Friday 20.05. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
- Monday 23.05. 11:30 - 13:00 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
- Monday 30.05. 11:30 - 13:00 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
- Monday 13.06. 11:30 - 13:00 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
- Monday 20.06. 11:30 - 13:00 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Information
Aims, contents and method of the course
Stochastic processes in discrete and cotime. Brownian motion as limit of random walks. Conditional expectation and martingales. Stochastic integrals in discrete time. Basic introduction to stochastic analysis for Brownian motion as it is used in models of financial markets. Stochastic integral for Brownian motion. Ito's formula for Brownian motion. Method: Lecture, exercises on the blackboard, take home exercises
Assessment and permitted materials
There will be 2 tests. Midterm Test 2.5.2022, Final Test 20.6.2022. If possible: in presence. Moreover there will be the possibility to achieve points by presentation of homework exercises.
Minimum requirements and assessment criteria
There will be 2 tests. In each test 16 points can be acchieved. Moreover points can be acchieved via presentation of exercises on the blackboard.Grades:
>= 18...grade 4
>=23...grade 3
>=28...grade 2
>= 33...grade 1
>= 18...grade 4
>=23...grade 3
>=28...grade 2
>= 33...grade 1
Examination topics
Everything that was done in lecture and exercises
Reading list
Literature going beyond the contents of the course:P. Billingsley : Probability an measure, Wiley
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
D. Williams : Probability with martingales,
Cambridge University PressKaratzas, S. Shreve: Brownian Motion and Stochastic Calculus, Springer
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
D. Williams : Probability with martingales,
Cambridge University PressKaratzas, S. Shreve: Brownian Motion and Stochastic Calculus, Springer
Association in the course directory
Last modified: Th 28.04.2022 09:48