Calcul stochastique

  • Teaching

    Details

    Faculty Faculty of Science and Medicine
    Domain Mathematics
    Code UE-SMA.03311
    Languages French
    Type of lesson Lecture
    Level Bachelor
    Semester SP-2022

    Title

    French Calcul stochastique
    German Calcul stochastique
    English Stochastic calculus

    Schedules and rooms

    Summary schedule Wednesday 13:15 - 15:00, Hebdomadaire (Spring semester)
    Struct. of the schedule 2h par semaine durant 14 semaines
    Contact's hours
    		28

    Teaching

    Responsibles
    • Mazza Christian
    Teachers
    • Mazza Christian
    Description Le calcul stochastique est une extension du calcul différentiel ordinaire aux fonctions aléatoires. Cet un outil indispensable dans de nombreux domaines comme la physique ou la finance. Le cours abordera les thèmes suivants: processus stochastiques, espaces gaussiens, mouvement brownien, martingales en temps continu, équations différentielles stochastiques, formule de Ito. Il est fortement recommandé d'avoir suivi un cours de probabilité ainsi qu'un cours de théorie de la mesure.
    Training objectives Maitrise des techniques du calcul stochastique (mouvement Brownei, calcul d'Ito), qui permet à l'étudiant d'aborder la modelisiation stochastique en sciences naturelles et en finance.
    Comments Cours compte pour Mathématiques appliquées
    Softskills No
    Off field No
    BeNeFri Yes
    Mobility Yes
    UniPop No
  • Dates and rooms
    Date Hour Type of lesson Place
    23.02.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    02.03.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    09.03.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    16.03.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    23.03.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    30.03.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    06.04.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    13.04.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    27.04.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    04.05.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    11.05.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    18.05.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    25.05.2022 13:15 - 15:00 Cours PER 07, Room 1.309
    01.06.2022 13:15 - 15:00 Cours PER 07, Room 1.309
  • Assessments methods

    Oral exam - SP-2022, Session d'été 2022

    Assessments methods By rating

    Oral exam - SP-2022, Autumn Session 2022

    Assessments methods By rating

    Oral exam - SP-2023, Session d'été 2023

    Assessments methods By rating
  • Assignment
    Valid for the following curricula:
    Additional Courses in Sciences
    Version: ens_compl_sciences
    Paquet indépendant des branches > Advanced courses in Mathematics (Bachelor level)
    Additional Programme Requirements to the MSc in Computer Science [MA]
    Version: 2022_1/V_01
    Supplement to the MSc in Computer science > Advanced courses in Mathematics (Bachelor level)
    Additional Programme Requirements to the MSc in Mathematics [MA]
    Version: 2022_1/V_01
    Supplement to the MSc in Mathematics > Advanced courses in Mathematics (Bachelor level)
    Additional TDHSE programme in Mathematics
    Version: 2022_1/V_01
    Additional TDHSE Programme Requirements for Mathematics 60 or +30 > Programme 60 or +30 > Additional Programme Requirements to Mathematics 60 > Additional TDHSE programme for Mathematics 60 (from AS2018 on)
    Additional TDHSE Programme Requirements for Mathematics 60 or +30 > Programme 60 or +30 > Additional Programme Requirements to Mathematics +30 > Additional TDHSE programme for Mathematics +30 (from AS2018 on)
    Mathematics 120
    Version: 2022_1/V_01
    BSc in Mathematics, Major, 2nd-3rd year > Mathematics, Major, 2nd and 3rd years, elective courses (from AS2018 on)
    Mathematics +30 [MA] 30
    Version: 2022_1/V_01
    Minor in Mathematics +30 (MATH+30 for 90 ECTS) > Mathematics +30, Module C (from AS2020 on)
    Mathematics 30 for Mathematicians (MATH 30MA)
    Version: 2022_1/V_01
    Mathematics for mathematicians (MATH 30MA), minor 30 (from AS2020 on) > Mathematics, minor MATH 30MA, elective courses (from AS2018 on)
    Mathematics 30 for Physicists (MATH 30PH)
    Version: 2022_1/V_01
    Mathematics for physicists (MATH 30PH), minor 30 (from AS2020 on) > Mathematics, minor MATH 30PH, elective courses (from AS2018 on)
    Mathematics 60 (MATH 60)
    Version: 2022_1/V_01
    Mathematics (MATH 60), minor 60 (from AS2020 on) > Mathematics, minor MATH60, elective courses (from AS2018 on)
    Mathematics [3e cycle]
    Version: 2015_1/V_01
    Continuing education > Advanced courses in Mathematics (Bachelor level)
    Mathematics [POST-DOC]
    Version: 2015_1/V_01
    Continuing education > Advanced courses in Mathematics (Bachelor level)
    Pre-Master-Programme to the MSc in Mathematics [PRE-MA]
    Version: 2022_1/V_01
    Prerequisite to the MSc in Mathematics > Advanced courses in Mathematics (Bachelor level)