(dt. Stochastische Analysis)
|Level, degree of commitment in original study programme||Advanced module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (4 SWS), recitation class (2 SWS), |
270 hours (90 h attendance, 180 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.|
|Original study programme||M.Sc. Wirtschaftsmathematik / Mathematische Vertiefungs- und Praxismodule|
|One semester, |
Regelmäßig im Wechsel mit anderen advanced moduleen
|Person in charge of the module's outline||Prof. Dr. Markus Bibinger|
We introduce stochastic integration and applications. Different topics cover, for instance, stochastic differential equations, jump processes and applications in financial mathematics.
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.
None. The competences taught in the following modules are recommended: either Foundations of Mathematics and Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Probability Theory.
- 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
This page describes a module according to the latest valid module guide in Wintersemester 2020/21. 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:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
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.