Unit name | Introduction to Stochastic Analysis |
---|---|
Unit code | MATHM0032 |
Credit points | 20 |
Level of study | M/7 |
Teaching block(s) |
Teaching Block 1 (weeks 1 - 12) |
Unit director | Dr. Yu |
Open unit status | Not open |
Pre-requisites |
Either 1. Further Topics in Probability 3 (MATH30006), or 2. Probability 2 (MATH20008) and Measure Theory and Integration (MATH30007). From 2019/20 onwards, Applied Partial Differential Equations 2 (MATH20402) will also be a prerequisite. |
Co-requisites |
None. |
School/department | School of Mathematics |
Faculty | Faculty of Science |
Unit aims
The aim of the unit is to introduce theory of Brownian motion, continuous martingales, stochastic integration, stochastic differential equations and diffusion processes. With particular emphasis on applications to physical sciences, financial mathematics and other branches of applied mathematics.
General Description of the Unit
The course is intended for Master's students with a sufficiently strong background in analysis. Construction and analytic properties of Brownian motion, stochastic integration, stochastic differential equations and their strong and weak solutions, various approaches to diffusion processes will be covered. These are all topics of central importance in the general advanced mathematical culture. Special emphasis will be put on various applications of the theory.
Learning Objectives
Lectures supported by problem sheets and solution sheets.
100% Examination.
Raw scores on the examinations will be determined according to the marking scheme written on the examination paper. The marking scheme, indicating the maximum score per question, is a guide to the relative weighting of the questions. Raw scores are moderated as described in the Undergraduate Handbook.
Essential
Further