Stochastic Processes 3
Course content
- Signed measures, absolute continuity and singularity of measures, the Radon-Nikodym Theorem.
- Conditional expectations given a sigma-algebra.
- Martingales and submartingales in discrete time, the martingale convergence theorem, stopping times and optional sampling.
- Central Limit Theorem for martingales.
- Brownian motion: definition, continuity, variation and quadratic variation, non-differentiability, the law of the iterated logarithm.
BSc Programme in Actuarial Mathematics
Knowledge:
Basic knowledge of the topics covered by the course: Decompositions of signed measures, conditional expectations, martingale theory, CLT for martingales, and definition, existence and path properties of the Brownian motion.
Skill:
- describe and prove the results on decomposition of signed measures.
- use the calculation rules for conditional expectations.
- show whether a sequence of random variables is a martingale or a submartingale.
- derive and describe the main results on martingales.
- apply the results on martingales to concrete examples.
- understand the foundation for the construction of stochastic processes in continuous time.
- describe the basic properties of the sample paths for Brownian motion.
Competence:
- discuss the relation between decomposition of measures and conditional expectations.
- relate and compare the results on martingales.
- use martingale CLT and understand the result compared to the classical CLT.
- describe the concept of sample paths with a view to constructing continuous stochastic processes.
- Give an oral presentation of a specific topic within the theory covered by the course.
5 hours of lectures and 4 hours of exercises per week for 7 weeks.
Stochastic Processes (Stok 2) or equivalent
The course is equivalent to Advanced Probability Theory 2 (VidSand2) (NMAK11011U)
Written feedback in the form of comments to the compulsory
assignements.
Oral feedback during exercise classes, as a response to the
contribution of the students to the solution process of the
exercises.
Detailed oral feedback after the oral exam.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 30 minuts
- Type of assessment details
- 30 minuts preparation. All aids allowed under preparation.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners.
Criteria for exam assessment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.
Single subject courses (day)
- Category
- Hours
- Lectures
- 35
- Preparation
- 132
- Theory exercises
- 28
- Project work
- 10
- Exam
- 1
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAB15026U
- ECTS
- 7,5 ECTS
- Programme level
- Bachelor
- Duration
-
1 block
- Placement
- Block 2
- Schedulegroup
-
C
- Capacity
- No limit
The number of seats may be reduced in the late registration period - Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- Ernst Hansen (8-6b786e6774796b744673677a6e34717b346a71)
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Courseinformation of students