|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|
(in Polish) 2L stac. II st. studia matematyki - przedmioty obowiązkowe
|ECTS credit allocation (and other scores):||
view allocation of credits
|Type of course:||
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.
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
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
Direct interaction with the teacher: 75 h., 3 ECTS
Practical exercises: 77 h., 3 ECTS
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
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