Parabolic Differential Equations
5 credits
Syllabus, Master's level, 1MA055
This course has been discontinued.
A revised version of the syllabus is available.
- Code
- 1MA055
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Mathematics A1F
- Grading system
- Pass with distinction (5), Pass with credit (4), Pass (3), Fail (U)
- Finalised by
- The Faculty Board of Science and Technology, 31 May 2013
- Responsible department
- Department of Mathematics
Entry requirements
120 credit points and Introduction to Partial Differential Equations
Learning outcomes
In order to pass the course (grade 3) the student should
- know the Ito-integral and how to use stochastic differential calculus;
- know how to use Feynman–Kac’s representation formula and the Kolmogrov equations;
- know the theory for stochastic control, optimal stopping problems and free boundary problems;
- be able to apply the theory to financial problems;
Content
Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.
Instruction
Lectures and problem solving sessions.
Assessment
Written examination at the end of the course combined with assignments given during the course.