NMAK14023U Stochastic Integration (StochInt)
Volume 2014/2015
Education
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
Content
- Continuous time martingales, local martingales and semimartingales.
- Measurable, progressive and predictable processes.
- Quadratic variation.
- Integration w.r.t. semimartingales.
- Itô's formula.
Learning Outcome
Knowledge:
- The general theory of stochastic integrals w.r.t. semimartingales.
- The main example of integration w.r.t. Brownian motion.
Skills: Ability to
- decide measurability properties of processes and stopping times
- compute with stochastic integrals w.r.t. semimartingales
- apply Itô's formula
- master the mathematical techniques of approximations and limits used to construct the general stochastic integrals.
Competences: Ability to
- discuss the choices of processes that can work as integrators and integrands, respectively, in the construction of an integral.
Teaching and learning methods
5 hours of lectures, 2 hours
of exercises for 7 weeks.
Workload
- Category
- Hours
- Class Exercises
- 14
- Exam
- 40
- Exercises
- 47
- Lectures
- 35
- Preparation
- 70
- Total
- 206
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Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Written assignmentOne final theoretical assignment.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- NMAK14023U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 2
- Schedule
- A (Tues 8-12 + Thurs 8-17)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- tnj138 tnj138 (15-66716a7d6673696a77337874707471456c72666e7133687472)
Saved on the
01-12-2014