MF002 Stochastical analysis

Faculty of Science
Spring 2008 - for the purpose of the accreditation
Extent and Intensity
2/1. Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Petr Lánský, DrSc. (lecturer)
Mgr. Ondřej Pokora, Ph.D. (seminar tutor)
Guaranteed by
doc. RNDr. Petr Lánský, DrSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: doc. RNDr. Petr Lánský, DrSc.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives (in Czech)
Brownův pohyb s driftem, lineární a kvadratická variace, stochastický integrál, Itôovo lemma, řešení jednoduchých integrálních rovnic, mar- tingalová reprezentační věta, věrohodnostní poměr, Cameron-Martinova věta, Girsanovova věta, stochastická interpretace rovnice difuze a La- placeovy rovnice, Feynman-Kacova věta, Stratonovičův integrál.
Syllabus (in Czech)
  • Brownův pohyb s driftem, lineární a kvadratická variace, stochastický integrál, Itôovo lemma, řešení jednoduchých integrálních rovnic, mar- tingalová reprezentační věta, věrohodnostní poměr, Cameron-Martinova věta, Girsanovova věta, stochastická interpretace rovnice difuze a La- placeovy rovnice, Feynman-Kacova věta, Stratonovičův integrál.
Literature
  • Alison Etheridge: A Course in Financial Calculus, Cambridge University Press, 2006, ISBN 0521813859
  • DUPAČOVÁ, Jitka, Jan HURT and Josef ŠTĚPÁN. Stochastic modeling in economics and finance. Dordrecht: Kluwer Academic Publishers, 2002, xiii, 386. ISBN 1402008406. info
Language of instruction
Czech
Further Comments
The course is taught annually.
The course is taught: every week.
Listed among pre-requisites of other courses
The course is also listed under the following terms Spring 2011 - only for the accreditation, Spring 2009, Spring 2010, Spring 2011, Spring 2012, spring 2012 - acreditation, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024, Spring 2025.