Jun 17, 2019   6:39 a.m. Adolf

Course syllabus BV1-SDP - Stochastic calculus (FCE - SS 2019/2020)

Information sheet          ECTS          Syllabus

Slovak          English

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:
 lecture 2 hours weekly (on-site method) seminar 1 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

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: 16. 4. 2019
Supervisor: prof. RNDr. Karol Mikula, DrSc. and programme supervisor

Last modification made by Ing. Peter Korčák on 04/16/2019.

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