Stochastic Processes

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 Sciences and Bioengineering Sciences

Department

Mathematics

Educational team

Tan Lu
Jan De Beule (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:
Written Exam determines 70% of the final mark.
Other Exam determines 30% of the final mark.

Within the Written Exam category, the following assignments need to be completed:

• Written exam theory with a relative weight of 50 which comprises 50% of the final mark.
  
  Note: theory
• Written exam exercises with a relative weight of 20 which comprises 20% of the final mark.
  
  Note: exercises

Within the Other Exam category, the following assignments need to be completed:

• Project: presentations with a relative weight of 1 which comprises 30% of the final mark.
  
  Note: Giving two presentations on a topic that is assigned by the lecturer, each presentation jas a relative weight of 15, and hence determines 15% of the final mark. Both presentations together determine 30% of the final mark. The presentations will be organized during the term.

Additional info regarding evaluation

70% written exam: theory + exercises

30% other exam: project (presentations)

 

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)