course-details-portlet

MA8109 - Stochastic Processes and Differential Equations

About

Lessons are not given in the academic year 2020/2021

Course content

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.

Learning outcome

1. Knowledge.
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.

2. Skills.
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.


3. Competence.
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.

Course materials

Will be announced at the start of the course.

More on the course
Facts

Version: 1
Credits:  7.5 SP
Study level: Doctoral degree level

Coursework

No

Language of instruction: -

Location: Trondheim

Subject area(s)
  • Mathematics
Contact information

Department with academic responsibility
Department of Mathematical Sciences

Phone:

Examination

  • * 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.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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