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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

This course is not currently offered.
Course descriptions are protected by copyright.
Copyright by University of Bialystok.