|Course ID:||0600-MS2-1PS||Erasmus code / ISCED:||11.104 / (0541) Mathematics|
|Course title:||Stochastic Processes||Name in Polish:||Procesy stochastyczne|
|Department:||(in Polish) Zakład Dydaktyki i Nowoczesnych Technologii w Kształceniu|
(in Polish) 2L stac. II st. studia matematyki - przedmioty obowiązkowe
|ECTS credit allocation (and other scores):||
view allocation of credits
|Type of course:||
Measure and Integral Theory 0600-MS2-1TMC
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
1. P. Billingsley Probability and measure
2. I. Karatzas, S. E. Shreve Brownian Motion and Stochastic Calculus Springer 1991.
3. D. Revuz, M. Yor Continuous martingales and Brownian motion Springer 1999.
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
Classes in period "Academic year 2018/2019" (past)
|Time span:||2018-10-01 - 2019-06-30||
see course schedule
|Type of class:||
Class, 30 hours more information
Lecture, 30 hours more information
|Group instructors:||Jarosław Kotowicz|
|Students list:||(inaccessible to you)|
|Type of course:||
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