Dec 14, 2019   9:44 p.m. Branislava, Bronislava
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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 code: B1-SDP
Course unit title: Stochastic calculus
Mode of completion and Number of ECTS credits: Exam (5 credits)
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


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

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