Babes-Bolyai University of Cluj-Napoca
Faculty of Mathematics and Computer Science
Study Cycle: Master
SUBJECT
| MMC1006 | Stochastic Processes and Applications |
| Teaching Staff in Charge |
Assoc.Prof. LISEI Hannelore-Inge, Ph.D., hanne math.ubbcluj.ro |
| Aims |
|
The aim of this course is to provide basic concepts and tools about stochastic processes and stochastic integration, to elaborate stochastic models with applications in economy, population dynamics etc. |
| Content |
|
1. Stochastic processes
2. Brownian motion 3. Martingales 4. Stochastic integrals and Ito formula 5. Stochastic differential equations 6. Simulation of stochastic processes 7. Applications of stochastic processes |
| References |
|
1) Blaga P., Calculul probabilităţilor şi statistică matematică. Vol. II. Curs şi culegere de probleme, UBB, Cluj-Napoca, 1994.
2) Ciucu G., Tudor C., Probabilităţi şi Procese Stocastice. Vol.I, Vol.II., Edit. Acad. 1978, 1979. 3) Florea D., Tudor C., Procese Stocastice. Probleme şi Soluţii. Edit. Univ. Bucureşti, 1982. 4) Iftimie B., Tudor C., Tudor M., Procese Stocastice cu Aplicaţii in Finanţe. Edit. Acad. de Studii Economice, Bucureşti, 1998 5) Karatzas I., Shreve S.E., Brownian Motion and Stochastic Calculus, Springer Verlag, New York, 2005. 6) Lisei H., Probability Theory, Casa Cărţii de Ştiinţă, Cluj-Napoca, 2004. 7) Lisei H., Micula S., Soós A., Probability Theory through Problems and Applications, University Press, Cluj-Napoca, 2006. 8) Kloeden P., Platen E., Numerical Solution of Stochastic Differential Equations, Springer Verlag, 1995. 9) Mikosch Th., Elementary Stochastic Calculus with Finance View, World Scientific, Singapore, 1998. 10) Oksendal B., Stochastic Differential Equations, Springer Verlag, 2003. |
| Assessment |
|
The final grade is computed as follows: written exam at the end of the semester 50%; activity during the semester: 25%; presentation of a report: 25%. |
| Links: | Syllabus for all subjects Romanian version for this subject Rtf format for this subject |