6 ECTS credits
150 h study time
Offer 1 with catalog number 1005877CNR for all students in the 2nd semester
at
a (C) Bachelor - specialised level.
- Semester
- 2nd semester
- Enrollment based on exam contract
- Impossible
- Grading method
- Grading (scale from 0 to 20)
- Can retake in second session
- Yes
- Enrollment Requirements
- Students must have followed ‘Probability Theory’, before they can enroll for ‘Stochastic Processes’.
- Taught in
- Dutch
- Partnership Agreement
- Under agreement for exchange of courses
- Faculty
- Faculty of Science and Bio-engineering Sciences
- Department
- Mathematics
- Educational team
- Uwe Einmahl
(course titular)
- Activities and contact hours
- 26 contact hours Lecture
13 contact hours Seminar, Exercises or Practicals
- Course Content
1. Markov chains
2. Renewal processes
3. Brownian motion and martingales
4. Stochastic integrals (introduction).
- Course material
- Digital course material (Required) : Stochastische processen, Syllabus, Einmahl
Handbook (Recommended) : Stochastic processes, Hoofdstuk 1, Hoel-Port-Stone, BIB, 9780881332674, 1986
Handbook (Recommended) : Probability, Hoofdstuk 2, Durrett, 4de, BIB, 9780521765398, 2010
Handbook (Recommended) : Stochastic calculus and financial applications, Hoofdstukken 3&4, Steele, BIB, 9781441928627
- Additional info
- Syllabus (in Dutch)
Complementary study material:
Hoel-Port-Stone: Stochastic processes (chapter 1)
Durrett: Probability theory (chapter 2)
Steele: Stochastic calculus and financial applications
(chapters 3 en 4)
- Learning Outcomes
-
General competencies
The student learns the basic notions of stochastic processe.
The student can solve exercises.
- Grading
-
The final grade is composed based on the following categories:
Other Exam determines 100% of the final mark.
Within the Other Exam category, the following assignments need to be completed:
- Examen
with a relative weight of 100
which comprises 100% of the final mark.
- Additional info regarding evaluation
- Examination:
exercises (written): 50%
theory (oral) 50%
- Allowed unsatisfactory mark
- The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.
Academic context
This offer is part of the following study plans:
Bachelor of Mathematics and Data Science: Standaard traject (only offered in Dutch)