MA-451 Stochastic Differential Equations
- ECTS Credits:
- 10
- Responsible department:
- Faculty of Engineering and Science
- Course Leader:
- Torstein Kastberg Nilssen
- Lecture Semester:
- Spring
- Teaching language:
- Norwegian or English
- Duration:
- 1 term
The course is connected to the following study programs
Teaching language
Norwegian or EnglishRecommended prerequisites
Topology and Measure Theory, Stochastic Processes
Course contents
Continuous stochastic processes. Brownian motion. Martingales. Itô integral. Martingale representation theorem. Itô formula. Stochastic differential equations; strong and weak solutions and criteria’s for well-posedness. Girsanov’s theorem. The Markov property of diffusions. Representation formulas for a class of parabolic differential equations.
Learning outcomes
After successful completion of the course the student
-
have knowledge about the key concepts of stochastic analysis.
-
have an understanding for stochastic dynamics and models.
-
know numerical methods for solving stochastic differential equations.
-
know Monte-Carlo methods for numerical approximations for a class of parabolic differential equations.
Examination requirements
Approved compulsory hand-ins. See Canvas for more information.
Teaching methods
Lectures, group work, and compulsory hand-ins. Estimated workload of the course is 267 hours.
Evaluation
The person responsible for the course decides, in cooperation with student representative, the form of student evaluation and whether the course is to have a midway or end of course evaluation in accordance with the quality system for education, chapter 4.1.
Assessment methods and criteria
Individual oral exam. Graded assessment.