NSCPHD1275 Stochastic Integration (StochInt)

Volume 2014/2015
Education
MSc Programme in Mathematics
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.

 

5 hours of lectures, 2 hours of exercises for 7 weeks.
  • Category
  • Hours
  • Class Exercises
  • 14
  • Exam
  • 40
  • Exercises
  • 47
  • Lectures
  • 35
  • Preparation
  • 70
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written assignment
One 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.