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MA482 - Stochastic Analysis

  • Module code: MA482
  • Module name: Stochastic Analysis
  • Department: Mathematics Institute
  • Credit: 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

This module aims: 1. To show the interesting mathematics involved in stochastic analysis; 2. To underpin further work in s.d.e., mathematical finance, statistical mechanics and various other aspects of mathematical physics, functional analysis and analysis in path spaces; To demonstrate known mathematical techniques in action and develop new ones.4.To stimulate development of mathematical enquiry and self-organised study.

Principal learning outcomes

"By the end of the module students should:1. appreciate some of the special features of measure theory on infinite dimensional Banach spaces; 2. understand the structure of Gaussion measures and know the structure theory relates to the differential analysis on spaces with such measures; 3. relate the above to probabilistic concepts and in particular to the Ito integral; 4. be able to use Ito calculus in simple situations and appreciate the difficulties which required the development of such a new calculus. "

Departmental link

http://go.warwick.ac.uk/MA482/

Other essential notes

Prerequisites: Some linear analysis, knowledge of measure theory or theory of integration or probability theory are desirable. No probability theory will be assumed, but a good basis in measure theory and some linear analysis is important.

Module assessment

Assessment group Assessment name Percentage
15 CATS (Module code: MA482-15)
B (Examination only) 3 hour examination (April) 100%

Module availability

This module is available on the following courses:

Core

N/A

Optional Core

N/A

Optional
  • Undergraduate Mathematics (MMath) (G103) - Year 3
  • Undergraduate Mathematics (MMath) (G103) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 3
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 5
  • Undergraduate Mathematics (MMath) with Study in Europe (G106) - Year 4
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 3
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 4
  • Postgraduate Taught Mathematics (G1P0) - Year 2
  • Postgraduate Taught Mathematics (Diploma plus MSc) (G1PC) - Year 2
  • Postgraduate Taught Interdisciplinary Mathematics (Diploma plus MSc) (G1PD) - Year 2
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 5
  • Undergraduate Discrete Mathematics (G4G3) - Year 4
  • MSc in Scientific Computing (G5P5) - Year 2