Måtteori och stokastisk integration
A revised version of the syllabus is available.
In order to pass the course (grade 3) the student should be able to
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.
week 31, 2012
Some titles may be available electronically through the University library.
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