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課程名稱 |
隨機微積分
STOCHASTIC CALCULUS |
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開課學期 |
98-2 |
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授課對象 |
理學院 數學研究所 |
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授課教師 |
謝南瑞 |
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課號 |
MATH7502 |
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課程識別碼 |
221 U3970 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6,7(12:20~15:10) |
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上課地點 |
新405 |
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備註 |
限本系所學生(含輔系、雙修生)
總人數上限：30人
外系人數限制：6人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/982stoch_cal_2010 |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
＊Contents：
Part I: Martingals and Brownian Motions
Part II: Stochastic Integrals and Stochastic Differential Equations
Part III: Some More Topics and Applications
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課程目標 |
＊Course Goal： Hopefully, toward researches in Stochastic Analysis in Math, and various Applications in Phys/Telecomm/Finance/Bio.
＊Remarks: 1. Failure rate is up to 20% 2. Classroom participation will be
noticed 3. This course is a math course, NOT designed for Finance; though students, subject to their interest, may submit a project on Stochastic Finance as a final report. |
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課程要求 |
＊Course prerequisite： Probability Theory(機率論), Real Variables(實變)
＊Grading scheme： Homework Excitation 20%, Midterm 40 %, Final 40% (in written and/or in report)
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
Lecture Notes of the Instructor (old version at Homepage, new version will be at CEIBA)
Richard Durrett, Probability, 3rd Edition , Chapter 4 and 7 (for Part I)
Bernt Oksendal, SDEs, 6th Edition (for Part II and Part III),
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參考書目 |
a |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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第1週 |
2/23 |
Stochastic Calculus 2010: Syllabus and
Exercise |
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