Not available in 2021/22
MA414 Half Unit
Stochastic Analysis
This information is for the 2021/22 session.
Teacher responsible
Dr Arne Lokka
Availability
This course is available on the MSc in Applicable Mathematics and MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit.
Pre-requisites
ST409 or MA411.
Course content
This course is concerned with a rigorous introduction to the area of stochastic analysis with emphasis on Itô calculus. The course begins necessary preliminaries, followed by a construction of the standard Brownian motion and a study of its properties. Subsequently, Lévy’s characterisation of Brownian motion, martingale representation theorems and Girsanov’s theorem are established. The course then expands on a study of stochastic differential equations.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Indicative reading
Full lecture notes will be provided. The following may prove useful: I Karatzas and S E Shreve, Brownian Motion and Stochastic Calculus, Springer; B Øksendal, Stochastic Differential Equations: An Introduction with Applications, Springer; D Revuz and M Yor, Continuous Martingales and Brownian Motion, Springer; L C G Rogers and D Williams, Diffusions, Markov Processes, and Martingales, Cambridge.
Assessment
Exam (100%, duration: 2 hours) in the summer exam period.
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Important information in response to COVID-19
Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Mathematics
Total students 2020/21: Unavailable
Average class size 2020/21: Unavailable
Controlled access 2020/21: No
Value: Half Unit
Personal development skills
- Self-management
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Specialist skills
