NMAB15026U  Stochastic Processes 3

Volume 2017/2018
Education

BSc Programme in Actuarial Mathematics

Content
  • Signed measures, absolute continuity and singularity of measures, the Radon-Nikodym Theorem.
  • Conditional expectations given a sigma-algebra.
  • Martingales and submartingales in discrete time, the martingale convergence theorem, stopping times and optional sampling.
  • Central Limit Theorem for martingales.
  • Brownian motion: definition, continuity, variation and quadratic variation, non-differentiability, the law of the iterated logarithm.
Learning Outcome

Knowledge:

Basic knowledge of the topics covered by the course:  Decompositions of signed measures, conditional expectations, martingale theory, CLT for martingales, and definition, existence and path properties of the Brownian motion.

Skill:

  • describe and prove the results on decomposition of signed measures.
  • use the calculation rules for conditional expectations.
  • show whether a sequence of random variables is a martingale or a submartingale.
  • derive and describe the main results on martingales.
  • apply the results on martingales to concrete examples.
  • understand the foundation for the construction of stochastic processes in continuous time.
  • describe the basic properties of the sample paths for Brownian motion.

Competence:

  • discuss the relation between decomposition of measures and conditional expectations.
  • relate and compare the results on martingales.
  • use martingale CLT and understand the result compared to the classical CLT.
  • describe the concept of sample paths with a view to constructing continuous stochastic processes.
  • Give an oral presentation of a specific topic within the theory covered by the course.
Stochastic Processes (Stok 2) or equivalent
5 hours of lectures and 4 hours of exercises per week for 7 weeks.
Credit
7,5 ECTS
Type of assessment
Oral examination, 30 minuts
30 minuts preparation. All written aids allowed under preparation.
Exam registration requirements

To participate in the exam the compulsory assignment must be approved and valid.

Aid
Written aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners.
Re-exam

As the ordinary exam. If the compulsory assignment was not approved before the ordinary exam it must be resubmitted at the latest two weeks before the beginning of the re-exam week. It must be approved before the re-exam

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.

  • Category
  • Hours
  • Lectures
  • 35
  • Theory exercises
  • 28
  • Exam
  • 1
  • Project work
  • 10
  • Preparation
  • 132
  • Total
  • 206