課程名稱 |
機率論二 Probability Theory (Ⅱ) |
開課學期 |
101-2 |
授課對象 |
理學院 數學系 |
授課教師 |
黃啟瑞 |
課號 |
MATH7510 |
課程識別碼 |
221 U3420 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期五5,6,7(12:20~15:10) |
上課地點 |
天數204 |
備註 |
總人數上限:30人 |
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課程簡介影片 |
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核心能力關聯 |
本課程尚未建立核心能力關連 |
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 |
Brownian Motion
Stochastic Integration
Stochastic Differential Equations
Martingales, Semimartingales
Change of Probability Measures
Applications
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課程目標 |
To understand the basic theory of stochastic calculus. |
課程要求 |
Course prerequisite:
Probability I, Real Analysis
*Grading scheme:
Assignments in class each week.
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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 |
Reference material ( textbook(s) ):
Klebaner, Fima C., Introduction to Stochastic Calculus with Applications, 2nd Ed. (2005) or 3rd Ed. (2012), Imperial College Press, World Scientific.
Kuo, Hui-Hsiung (2005), Introduction to Stochastic Integration, Springer.
References:
Chung, K. L., Williams, R. J. (1990) Introduction to Stochastic Integration, 2nd Ed., Birkhauser.
Friedman, A. (2006) Stochastic Differential Equations and Applications, Dover Books on Mathematics, (1975 AP).
Karatzas, I., Shreve S. E. (1991) Brownian Motion and Stochastic Calculus, 2nd Ed., Springer.
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參考書目 |
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評量方式 (僅供參考) |
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