MU24007 Stochastic Processes

Mathematical Institute in Opava
Winter 2021
Extent and Intensity
2/1/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
prof. RNDr. Jaroslav Smítal, DrSc. (lecturer)
Mgr. Jaroslav Bradík (seminar tutor)
Guaranteed by
prof. RNDr. Jaroslav Smítal, DrSc.
Mathematical Institute in Opava
Timetable
Wed 9:45–11:20 5
  • Timetable of Seminar Groups:
MU24007/01: Tue 8:55–9:40 203, J. Bradík
Prerequisites (in Czech)
TYP_STUDIA ( N )
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
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
Literature
    required literature
  • G. R. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. ISBN 0-19-857222-0. info
    recommended literature
  • J. M. Steele. Stochastic Calculus and Financial Applications. Springer-Verlag, 2003. ISBN 0387950168. info
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course can also be completed outside the examination period.
Teacher's information
Obtaining the credit and passing the final oral exam.
ActivityDifficulty [h]
Cvičení13
Přednáška26
Summary39
The course is also listed under the following terms Summer 2010, Summer 2011, Summer 2012, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019.
  • Enrolment Statistics (recent)
  • Permalink: https://is.slu.cz/course/sumu/winter2021/MU24007