MU:MU24007 Stochastic Processes - Course Information
MU24007 Stochastic Processes
Mathematical Institute in OpavaSummer 2012
- Extent and Intensity
- 2/1/0. 5 credit(s). Type of Completion: zk (examination).
- Teacher(s)
- doc. RNDr. Tomáš Kopf, Ph.D. (lecturer)
doc. RNDr. Tomáš Kopf, Ph.D. (seminar tutor) - Guaranteed by
- doc. RNDr. Tomáš Kopf, Ph.D.
Mathematical Institute in Opava - Course Enrolment Limitations
- The course is also offered to the students of the fields other than those the course is directly associated with.
- fields of study / plans the course is directly associated with
- Applied Mathematics (programme MU, N1101)
- Course objectives
- The main goal of the course is to introduce students to the basic methods in the analysis of stochastic processes, used in mathematical models in the theory of finance. The main focus is on random walks and Wiener processes. Students successfully completing the course will be able to use these processes in mathematical modelling and techniques in their analysis.
- Syllabus (in Czech)
- - Náhodná procházka
- princip reflexe
- Markovova vlastnost
- Pólyova věta
- zákony arcsinu
- diskrétní martingaly
- filtrace
- martingalová transformace
- Wienerův proces
- Cieselskiho konstrukce Brownova pohybu
- Spojité martingaly a filtrace
- - Náhodná procházka
- Literature
- Language of instruction
- Czech
- Further Comments
- The course can also be completed outside the examination period.
- Enrolment Statistics (Summer 2012, recent)
- Permalink: https://is.slu.cz/course/sumu/summer2012/MU24007