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The course gives an introduction to Ito stochastic calculus and stochastic differential equations. In particular the course will focus on Ito diffusions and some applications to boundary value problems will be presented.
The students will be given theoretical and practical notions on Ito calculus and differential equations. The Ito formula will be a fundamental tool for studying the solutions of those equations. Use of martingale techniques will be exploited.
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None.
MAT3300 - Measure and integration / MAT4300 - Measure and integration.
10 credits with MA374.
*The information about overlaps is not complete. Contact the Department for more information if necessary.
6 hours lecturer/exercises per week in the first half of the spring semester.Followed by MAT4710 - Stochastic analysis II.
Oral exam. Letter grading (A-F).
Students who due to illness or other valid reason of absence were unable to sit for their final exams may apply for participation in deferred examinations. Deferred examinations are arranged either later in the same semester or early in the semester following the exam in question. Documentation of valid reasons for absence from the regular exam must be submitted upon application to participate in deferred examinations.
Students who have failed an exam, who withdraw during an exam, and students who wish to retake an exam to achieve a better grade may not participate in deferred exams, but may retake the exam when it is regularly scheduled.
Information about deferred and new examination (also called repeat examination) is found here
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