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Last update: T_KPMS (16.05.2013)
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Last update: T_KPMS (16.05.2013)
Students will learn basic results from the theory of stochastic differential equations.
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Last update: RNDr. Jitka Zichová, Dr. (13.05.2023)
Oral exam. |
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Last update: T_KPMS (16.05.2013)
Karatzas, I., Shreve, S.E.: Brownian motion and stochastic calculus. Springer Verlag, Berlin, 1988
Krylov, N.V.: Introduction to the theory of diffusion processes. American Math. Society, Providence, 1995. |
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Last update: T_KPMS (16.05.2013)
Lecture. |
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Last update: RNDr. Jitka Zichová, Dr. (13.05.2023)
Oral exam according to sylabus. |
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Last update: RNDr. Jan Seidler, CSc. (27.09.2020)
1. The Burkholder-Davis-Gundy inequality.
2. Linear equations.
3. Basic results on existence and uniqueness of strong solutions to equations with Lipschitz coefficients.
4. Representation of continuous martingales by time-changes and stochastic integrals.
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Last update: RNDr. Jan Seidler, CSc. (28.05.2019)
Students should be acquainted with the basics of stochastic analysis: the Wiener process, continuous-time martingales, stochastic integrals, the Itô formula. |