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| MATH0222-2 | Introduction to stochastic processes
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| Duration : | 30h Th, 30h Pr |
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| Credits/ECTS : |
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| Holder(s) : | Gentiane Haesbroeck |
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| Language : | Langue française |
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| Course contents : | The course starts with the description of some of the most wellknown stochastic processes: Poisson processes, Markov chains, random walks, Wiener processes,... Then, applications of stochastic processes are considered, mainly in financial mathematics and queues. |
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| Course objective : | The course aims at developping models to describe a family of dependant random variables and at applying them in real life situations. |
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| Prerequisites : | The theory of stochatic processes relies heavily on analysis results (convergence of real sequences and series) as well as on most fundametal properties of probability theory. Moreover, students are expected to be able to use the software R during the practicals as well as for homeworks. |
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| Workshops : | 30 hours of tutorials are associated to this course: 10 hours will consist of formal ex-cathedra tutorials given by an assistant while 20 hours will correspond to personnal (home)works for the student. These homeworks will either be spupervised by the assistant (for example in the computer room of the maths department) or will be left for personnal work at home. |
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| Organization : | During the academic year 2007-2008, the course will be taught during the second semester according to the timetables given to the students at the beginning of the academic year. |
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| Written notes : | Partial notes (theory and exercises) will be given to the students. |
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| Assessment : | The final grade for the cours will be an average based on the two following results:
- note obtained at an oral exam with questions on theory and exercises.
- note based on the personnal work perfomed during the course. |
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| Contacts : | G.HAESBROECK, Institute of mathematics, Building B37, room 0/60, tel: 04/366-95-94,
email: G.Haesbroeck@ulg.ac.be
D. MAGIS, Institute of mathematics, Building B37, room 0/61, tel: 04/366-94-24,
email: David.Magis@ulg.ac.be |
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