Jun 16, 2019   4:54 a.m. Blanka
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Course syllabus D1-SDP - Stochastic differential calculus (FCE - 2019/2020 - post-graduate studies)

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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: D1-SDP
Course unit title: Stochastic differential calculus
Mode of delivery, planned learning activities and teaching methods:
workshop2 hours weekly / 26 hours per semester of study (on-site method)

Credits allocated: 5
Recommended semester/trimester: -- item not defined --
Level of study: 3.
Prerequisites for registration: none
Assesment methods:
Correctly elaborated all assignments, exam.
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:
OEKSENDAL, B. Stochastic differential equations. New York: Springer, 1995.
ŠEVČOVIČ, D. -- STEHLÍKOVÁ, B. -- MIKULA, K. Analytické a numerické metódy oceňovania finančných derivátov. Bratislava : STU v Bratislave, 2009. 200 p. ISBN 978-80-227-3014-3.

Language of instruction: slovak and english or english
Courses evaluation:
Assessed students in total: 3

100,0 %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: 31. 10. 2017
Supervisor: prof. RNDr. Karol Mikula, DrSc. and programme supervisor

Last modification made by Ing. Peter Korčák on 10/31/2017.

Type of output: