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Stochastics Processes

General data

Course ID: 0600-MS2-1PS#a Erasmus code / ISCED: (unknown) / (unknown)
Course title: Stochastics Processes Name in Polish: Stochastic Processes
Department: Faculty of Mathematics and Informatics
Course groups: (in Polish) 2L stac. II st. studia matematyki - przedmioty obowiązkowe
ECTS credit allocation (and other scores): 5.00
view allocation of credits
Language: English
Type of course:

obligatory courses


Probability 0600-FS2-1PRB#a

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: Probability Theory

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:

Knows 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

Is 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

Classes in period "Academic year 2018/2019" (future)

Time span: 2018-10-01 - 2019-06-30
Choosen plan division:

see course schedule
Type of class: Class, 30 hours more information
Lecture, 30 hours more information
Coordinators: Jarosław Kotowicz
Group instructors: (unknown)
Students list: (inaccessible to you)
Examination: Examination
Course descriptions are protected by copyright.
Copyright by University of Bialystok.