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MU:MU24007 Stochastic Processes - Course Information

## MU24007 Stochastic Processes

**Mathematical Institute in Opava**

Winter 2013

**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**- Random walk

Reflection principle

Markovian property

Polya theorem

Arcsin laws

Discrete martingales

Filtrations

Martingale transformations

Wiener process

Cieselski's construction of Brownian motion

Continuous martingales and filtrations

- Random walk
**Literature****Language of instruction**- Czech
**Further Comments**- The course can also be completed outside the examination period.

- Enrolment Statistics (Winter 2013, recent)
- Permalink: https://is.slu.cz/course/sumu/winter2013/MU24007