課程名稱 |
隨機微積分 STOCHASTIC CALCULUS |
開課學期 |
98-2 |
授課對象 |
理學院 數學研究所 |
授課教師 |
謝南瑞 |
課號 |
MATH7502 |
課程識別碼 |
221 U3970 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期二5,6,7(12:20~15:10) |
上課地點 |
新405 |
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 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/982stoch_cal_2010 |
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 |
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. |
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 |
評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
第1週 |
2/23 |
Stochastic Calculus 2010: Syllabus and
Exercise |
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