Course - Stochastic Processes and Differential Equations - MA8109
MA8109 - Stochastic Processes and Differential Equations
Lessons are not given in the academic year 2020/2021
The course will be lectured every second year, next time Fall 2021. If few students attend, the course may be held as a tutored seminar.
Survey of necessary measure and probability theory. Independence and conditional expectation. Continuous time stochastic processes. Brownian motion. The Ito integral. Martingales. Stochastic Differential Equations. Diffusions. Applications of stochastic modelling.
Review of neccesary measure and probability theory. Independence and conditional expectation. Brownian motion. The Ito integral. Martingales. Stochastic Differential Equations. Diffusions. Applications of stochastic modelling.
The students know the theory of stochastic processes and their applications to stochastic models. They master various stochastic techniques such as martingales, Ito integrals etc.
The students are able to participate in scientific discussions and do research related to stochastic processes at an international level, and also be able to participate in interdisciplinary projects involving stochastic processes and stochastic modeling.
Learning methods and activities
Lectures, alternatively guided self-study.
The lectures may be given in English. If the course is taught in English, the exam will be given only in English. Students are free to choose Norwegian or English for written assessments. If the course registered students agree, the final exam may be given as a written exam.
Recommended previous knowledge
The course requires basic knowledge in probability theory and linear analysis, and some mathematical maturity.
Will be announced at the start of the course.
- * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
For more information regarding registration for examination and examination procedures, see "Innsida - Exams"