Subject: Subject Sylbus: Stochastic Processes - 106429 (Current)

Stochastic Processes - 106429
Credit
Points
3.0
 
Given In
Semester
b
 
  Lecture Exercise Laboratory Project or
Seminar
House
Work
Weekly
Hours
3       3
Possibility to guided reading

Determination of the grade according to progress during the semester and a final examination.


Prerequisites: ( Real Functions 104165
and Probability Theory 104222 )


1. Discrete and Continuous Time Martingales.
2. Brownian Motion and Its Properties - Continuity, Nondifferentiability, Distribution of Zeros, Law of the Iterated Logarithm, Reflection Principle.
3. Markov Processes and Semigroups. Application to Stochastic Representations of Solutions of Partial Differential Equations.
4. Stochastic Integrals.
5. Stochastic Differential Equations.


Timetable to semester 02/2020 2020/2021 Spring Semester
RoomBuildingHourdayLecturerExercise
Lecture
no.Registering
Group
719אמדו13:30-14:30SundayAssociate Professor Crawford NicholasLecture1010
719אמדו11:30-13:30Monday

Created in 22/04/2021 Time 15:24:05