course-details-portlet

MA8109 - Stochastic Processes and Differential Equations

About

Examination arrangement

Examination arrangement: Assignment and oral examination
Grade: Passed/Failed

Evaluation Weighting Duration Grade deviation Examination aids
Approved report 20/100 ALLE
Oral examination 80/100 E

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

Term no.: 1
Teaching semester:  AUTUMN 2021

Language of instruction: -

Location: Trondheim

Subject area(s)
  • Mathematics
Contact information
Course coordinator: Lecturer(s):

Department with academic responsibility
Department of Mathematical Sciences

Examination

Examination arrangement: Assignment and oral examination

Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
Autumn ORD Oral examination 80/100 E
Room Building Number of candidates
Autumn ORD Approved report 20/100 ALLE
Room Building Number of candidates
Spring ORD Oral examination 80/100 E
Room Building Number of candidates
Spring ORD Approved report 20/100 ALLE
Room Building Number of candidates
  • * 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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