Oct 22, 2020   12:42 p.m. Sergej
Academic information system

Course syllabus B1-SDP - Stochastic calculus (FCE - WS 2020/2021)


     Information sheet          ECTS          Syllabus          


     Slovak          English          


University:
Slovak University of Technology in Bratislava
Faculty:
Faculty of Civil Engineering
Course unit code: B1-SDP
Course unit title:
Stochastic calculus
Mode of delivery, planned learning activities and teaching methods:
lecture
2 hours weekly (on-site method)
seminar
2 hours weekly (on-site method)

 
Credits allocated:
5
 
Recommended semester/trimester:
Mathematical and Computational Modeling - bachelor (compulsory), 5. semester
Level of study: 1.
Prerequisites for registration:
 
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 or english
 
Notes:
 
Courses evaluation:
Assessed students in total: 51

A
B
C
D
E
FX
29,4 %17,6 %23,5 %
17,6 %
11,9 %0 %
Name of lecturer(s): prof. RNDr. Radko Mesiar, DrSc. (examiner, instructor, lecturer)
prof. RNDr. Karol Mikula, DrSc. (person responsible for course)
Ing. Peter Sarkoci, PhD. (examiner, instructor, lecturer) - slovak, english
 
Last modification:
30. 3. 2020
Supervisor:
prof. RNDr. Karol Mikula, DrSc. and programme supervisor


Last modification made by Ing. Marián Dubík on 03/30/2020.

Type of output: