Måtteori och stokastisk integration
A revised version of the syllabus is available.
In order to pass the course (grade 3) the student should
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.
Written and, possibly, oral examination at the end of the course. Moreover, compulsory assignments may be given during the course.
The reading list is missing. For further information, please contact the responsible department.
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