Duration
30h Th, 10h Pr, 20h Proj.
Number of credits
| Master in mathematics (120 ECTS) | 8 crédits | |||
| Master in mathematics (60 ECTS) | 8 crédits |
Lecturer
Language(s) of instruction
French language
Organisation and examination
Teaching in the first semester, review in January
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
Introduction to stochastic processes and stochastic integration
I. Refresher
II. Discrete-time stochastic processes and martingales
III. Continuous-time stochastic processes
IV. Brownian motion
V. Martingales
VI. Sample path properties of the Brownian motion
VII. Itô Integration
Learning outcomes of the learning unit
The objective is to offer the student the necessary tools to enter a very active but demanding research field.
Prerequisite knowledge and skills
It is compulsory to have a solid background in mathematics (BA in mathematics).
The course "Introduction to Stochastic Processes" is not a pre-requisite.
Planned learning activities and teaching methods
Ex cathedra classes, exercice sessions and a personal work.
Mode of delivery (face to face, distance learning, hybrid learning)
Face-to-face
Organisational adjustments related to the current health context
/
Recommended or required readings
See French section
Assessment methods and criteria
Below you will find information on the evaluation methods planned for in-person and remote exams as well as those planned for hybrid sessions. Depending on how the health crisis evolves, the chosen method will be communicated to you no later than one month before the start of the exam session.
An oral examination consisting of theory, exercises and presentation of the personal work will be organized.
Work placement(s)
Organizational remarks
Course taught in French every two years
Contacts
Céline Esser
Email : Celine.Esser@uliege.be
Département de Mathématique,
Allée de la Découverte, 12, B37,
4000 Liège Belgium
Office 0/62