Oct 18, 2019   2:03 p.m. Lukáš
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Course syllabus BV1-SDP - Stochastic calculus (FCE - SS 2018/2019)


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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: BV1-SDP
Course unit title: Stochastic calculus
Mode of delivery, planned learning activities and teaching methods:
lecture2 hours weekly (on-site method)
seminar1 hour weekly (on-site method)

 
Credits allocated: 4
 
Recommended semester/trimester: -- item not defined --
Level of study: 1.
Prerequisites for registration: passed Probability theory (B-TP) and passed Partial differential equations (B-PDR)
 
Assesment methods:
During the semester - attendance at the seminars, successful elaboration of at least 56% of all exercises
During the exam period - written and oral exam, point gain from both at least 56%
 
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.
 
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.

 
Language of instruction: slovak
 
Notes:
 
Courses evaluation:
Assessed students in total: 0

Name of lecturer(s): prof. RNDr. Karol Mikula, DrSc. (person responsible for course)
Ing. Peter Sarkoci, PhD. (examiner, instructor, lecturer) - slovak, english
 
Last modification: 26. 2. 2018
Supervisor: prof. RNDr. Karol Mikula, DrSc. and programme supervisor


Last modification made by Ing. Marián Dubík on 02/26/2018.

Type of output: