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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.
To participate in this course you must have an admission to a Ph.D.-programme at a Norwegian University or University College.
If you do not have an admission to the Ph.D.-Programme in Science at The Faculty of Mathematics and Natural Sciences at UiO, you have to apply for hospitantstatus (norwegian text) . For more information, please contact the Department.
None.
MAT3300 - Measure and integration / MAT4300 - Measure and integration.
10 credits with MA374.
10 credits with MAT4700 - Stochastic analysis I.
*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.
Students are awarded either a passing or failing grade. The pass/fail scale is applied as an independent scale with only two possible results.
Visiting address:
Niels Henrik Abel's building, Moltke Moes vei
Postal address:
P.O.box 1053, Blindern
NO-0316 Oslo
Visiting hours:
Monday-friday 09:00-14:30
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