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This entry is from Summer semester 2018 and might be obsolete. You can find a current equivalent here.

Stochastical Analysis
(dt. Stochastische Analysis)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
workload		 Lecture (4 SWS), recitation class (2 SWS),
270 hours (90 h attendance, 180 h private study)
Credit points,
formal requirements		 9 CP
Course requirement(s): Written or oral examination
Examination type: Successful completion of at least 50 percent of the points from the weekly exercises.
Language,
Grading		 German,
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics.
Duration,
frequency		 One semester,
Regularly alternating with other specialization modules
Person in charge of the module's outline Prof. Dr. Markus Bibinger

Contents

We introduce stochastic integration and applications. Different topics cover, for instance, stochastic differential equations, jump processes and applications in financial mathematics.


Qualification Goals

The students shall

  • gain insight into the research field of stochastic analysis,
  • learn basic structures and techniques of stochastic analysis,
  • get to know selected applications of stochastic analysis,
  • practice mathematical methods (developing mathematical intuition and its formal justification, training of the ability to abstract, proof methods),
  • practice oral communication skills in the recitation classes by practicing free speech in front of an audience.

Prerequisites

Translation is missing. Here is the German original:

Keine. Empfohlen werden die Kompetenzen, die in den Basismodulen und im Vertiefungsmodul Wahrscheinlichkeitstheorie vermittelt werden.


Applicability

Module imported from M.Sc. Business Mathematics.

It can be attended at FB12 in study program(s)

  • B.Sc. Mathematics
  • B.Sc. Business Mathematics
  • M.Sc. Data Science
  • M.Sc. Computer Science
  • M.Sc. Mathematics
  • M.Sc. Business Mathematics
  • LAaG Mathematics

When studying M.Sc. Mathematics, this module can be attended in the study area Specialization Modules in Mathematics.

Die Wahlmöglichkeit des Moduls ist dadurch beschränkt, dass es der Angewandten Mathematics zugeordnet ist.


Recommended Reading

  • Oksendal, B., „Stochastic Differential Equations: An Introduction with Applications“. Springer-Verlag Berlin 1998
  • Karatzas, I., Shreve, S., „Brownian Motion and Stochastic Calculus“. Springer-Verlag Berlin 1991
  • Protter, P., „Stochastic Integration and Differential Equations: A New Approach“. Springer-Verlag Berlin 2003
  • Revuz, D., Yor, M., „Continuous Martingales and Brownian Motion“. Springer 2005



Please note:

This page describes a module according to the latest valid module guide in Summer semester 2018. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:

The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.

The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.