Syllabus for Measure Theory and Stochastic Integration
Måtteori och stokastisk integration
- 5 credits
- Course code: 1MA051
- Education cycle: Second cycle
Main field(s) of study and in-depth level:
Financial Mathematics A1F
- Grading system: Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Established: 2007-03-15
- Established by:
- Revised: 2019-10-24
- Revised by: The Faculty Board of Science and Technology
- Applies from: Autumn 2020
120 credits including Integration Theory, 10 credits. Integration Theory may be studied at the same time as 1MA051. Proficiency in English equivalent to the Swedish upper secondary course English 6.
- Responsible department: Department of Mathematics
On completion of the course, the student should be able to:
- interpret Brownian motion as a stochastic process on a filtered measurable space;
- describe the class of continuous martingales;
- describe the construction of a stochastic integral;
- use Ito's formula;
- describe the concept of "quadratic variation" and the martingale characterisation of Brownian motion;
- formulate the representation theorem for martingales and how to use it;
- formulate the existence and uniqueness theorems for stochastic differential equations;
- use diffusion processes as a tool for mathematical modelling;
- explain the connection between diffusion processes and solutions of parabolic and elliptic partial differential equations;
- use Girsanov's representation theorem.
Brownian motion. Stochastic integration. Ito's formula. Continuous martingales. The representation theorem for martingales. Stochastic differential equations. Diffusion processes. Girsanov's representation theorem. Applications from selected areas.
Lectures and problem solving sessions.
Compulsory assignments during the course.
If there are special reasons for doing so, an examiner may make an exception from the method of assessment indicated and allow a student to be assessed by another method. An example of special reasons might be a certificate regarding special pedagogical support from the disability coordinator of the university.
- Latest syllabus (applies from Autumn 2020)
- Previous syllabus (applies from Spring 2019)
- Previous syllabus (applies from Autumn 2013)
- Previous syllabus (applies from Autumn 2012, version 2)
- Previous syllabus (applies from Autumn 2012, version 1)
- Previous syllabus (applies from Autumn 2009)
- Previous syllabus (applies from Autumn 2008, version 3)
- Previous syllabus (applies from Autumn 2008, version 2)
- Previous syllabus (applies from Autumn 2008, version 1)
- Previous syllabus (applies from Autumn 2007, version 2)
- Previous syllabus (applies from Autumn 2007, version 1)
Applies from: Spring 2021
Some titles may be available electronically through the University library.
Stochastic differential equations : an introduction with applications
6. ed.: Berlin: Springer, 2003
Continuous martingales and Brownian motion
3. ed.: Berlin: Springer, cop. 1999
Shreve, Steven E.
Brownian motion and stochastic calculus
2. ed.: Berlin: Springer, cop. 1991
Reading list revisions
- Latest reading list (applies from Spring 2021)
- Previous reading list (applies from Autumn 2020)