Stochastic Processes
General data
| Course ID: | 0600-MS2-1PS | Erasmus code / ISCED: |
11.104
 /
(0541) Mathematics
|
| Course title: | Stochastic Processes | Name in Polish: | Procesy stochastyczne |
| Department: | (in Polish) Instytut Matematyki | ||
| Course groups: |
(in Polish) 2L stac. II st. studia matematyki - przedmioty obowiązkowe |
||
| ECTS credit allocation (and other scores): |
(not available)
 view allocation of credits |
||
| Language: | Polish | ||
| Type of course: | obligatory courses |
||
| Short description: |
Course objectives: By the end of the course the student should have developed the skills to: determine stopping times; making decomposition of supermartingales; calculate Ito integrals. |
||
| Full description: |
Course profile: academic Form of study: stationary Course type: obligatory Academic discipline: Mathematics, field of study in the arts and science: mathematics Year: 1, semester: 2 Prerequisities: none lecture 30 h. exercise class 30 h. Verification methods: lectures, exercises, consultations, studying literature, home works, discussions in groups. ECTS credits: 5 Balance of student workload: attending lectures15x2h = 30h attending exercise classes 15x2h = 30h preparation for classes 7x3h = 21h completing notes after exercises and lectures 7x2h = 14h consultations 12x1h = 12h the final examination: preparation.and take 12h + 3h = 15h control works: repeating the material and preparation 3x4h = 12h Quantitative description Direct interaction with the teacher: 75 h., 3 ECTS Practical exercises: 77 h., 3 ECTS |
||
| Learning outcomes: |
Learning outcomes: Know the major theorems and their proofs related to stochastic processes, stopping times, convergence of martingales, decomposition of supermartingales, the Wiener process, Ito integrals and local martingales.K_W03, K_U01, K_U11,K_U12 Be able to use of stochastic processes to model real-world phenomena.K_U18, K_W15 Obtains the basic skills to creative developing theory of stochastic processes.K_K01, K_K02, K_K07 |
||
| Assessment methods and assessment criteria: |
The overall form of credit for the course: final exam |
||
| |||||
Copyright by University of Bialystok.