Oct 22, 2020   11:33 a.m. Sergej
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Course syllabus D1-SDP - Stochastic differential calculus (FCE - 2020/2021 - 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:
workshop
2 hours weekly / 26 hours per semester of study (on-site method)

 
Credits allocated:
5
 
Recommended semester/trimester:
Applied Mathematics - doctoral (semi-compulsory), 1. year
Applied Mathematics - doctoral (semi-compulsory), 1. year
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:
Basic:
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
 
Notes:
 
Courses evaluation:
Assessed students in total: 3

P
N
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. 3. 2020
Supervisor:
prof. RNDr. Karol Mikula, DrSc. and programme supervisor


Last modification made by Ing. Marián Dubík on 03/31/2020.

Type of output: