隨機微積分
Stochastic Calculus
學期
107-1
學分
3
學分
當期課號
5377
永久課號
IAM6578
開課單位
應用數學系
授課教師
許元春
校區
光復
類別
選修
上課時間表
| 節 | 週一 | 週三 |
|---|---|---|
2 09:00–09:50 | 隨機微積分 SA212 | |
5 13:20–14:10 | 隨機微積分 SA212 2 節連堂 | |
6 14:20–15:10 |
* 根據陽明交大上課時間表所列
概述
This is a one-year course on the theory of stochastic calculus, and student will be equipped with the basic knowledge for the applications in other fields(physics, biology, engineering , finance and many others), In the fall semester, the topics to be covered will include conditional expectation, discrete time martingales, Markov chains, Gaussian Processes and Brownian motion.
先修科目
measure theoretic probability
評分方式
Homework(100%)
教科書
Integration, Probabilit/'es et Processus Al/'eatoires (in French), Lecture Notes by J.F.Le Gall Brownian Motion, Martingales, and Stochastic Calculus by J.F. Le Gall, Springer-Verlag, 2016
Office Hours
- 聯絡方式
- sheu@math.nctu.edu.tw