MATS353 Stochastic Differential Equations (4-5 cr)
Learning outcomes
* the student understands the concept of a solution of a stochastic differential equation
* the student knows the theorems from the course about the existence and the behaviour of solutions
* the student can solve some stochastic differential equations
Study methods
Course exam and exercises. Part of the exercises may be obligatory.
Final exam is an other option.
Content
Stochastic differential equations are a modern and important tool in stochastic modelling and have also applications within partial differential equations, harmonic analysis, and other areas of mathematics.
The course covers the following topics:
* existence and uniqueness of solutions to stochastic differential equations
* properties of solutions
* solving particular stochastic differential equations
* applications in Finance
Further information
The course is given every second year. It is given in 2018 and 2020.
Materials
Lecture notes: Stefan Geiss. Stochastic differential equations (chapter 4).
Literature:
| ISBN-number | Author, year of publication, title, publisher |
|---|---|
| 978-1-4612-0949-2 | Karatzas, Ioannis, Shreve, Steven: Brownian Motion and Stochastic Calculus, 1998, Springer |
Assessment criteria
The grade is based on
a) the number of points in the course exam and possibly additional points from exercises
OR
b) the number of points in the final exam.
At least half of the points are needed to pass the course.
Prerequisites
MATS352 Stochastic Analysis (or Stochastic Differential Equations 1) or similar