Jan 27, 2020   5:11 p.m. Bohuš
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Course syllabus B1-SDP - Stochastic calculus (FCE - WS 2019/2020)


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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit title: Stochastic calculus
Course unit code: B1-SDP
Mode of completion and Number of ECTS credits: Exam (5 credits)
 
Name of lecturer: prof. RNDr. Radko Mesiar, DrSc. (examiner, instructor, lecturer)
prof. RNDr. Karol Mikula, DrSc. (person responsible for course)
Ing. Peter Sarkoci, PhD. (examiner, instructor, lecturer) - slovak, english
 
Learning outcomes of the course unit:
Student will learn about the basic properties of the Brownian motion,
Itô integration and stochastic differential equations, their
relationship with diffusion and linear filtration, and their
relationship with the Feynman-Kac formula.
 
Prerequisites and co-requisites: passed Probability theory and passed Partial differential equations
 
Course contents:
- Brownian motion and its properties
- Itô integral, martingales
- Itô processes and Itô lema
- Stochastic differential equations
- Difusion, Markov property, generator of diffusion
- Linear filtration, Feynman-Kac formula
 
Recommended or required reading:
Basic:
OEKSENDAL, B. Stochastic differential equations. New York: Springer, 1995.

 
Planned learning activities and teaching methods: lecture 2 hours weekly / 26 hours per semester of study (on-site method)
seminar 2 hours weekly / 26 hours per semester of study (on-site method)
 
Assesment methods and criteria: exam
 
Language of instruction: Slovak, English
 
Work placement(s): There is no compulsory work placement in the course unit.


Last modification made by Ing. Peter Korčák on 02/28/2019.

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