MATS353 Stochastic Differential Equations (4–5 cr)
Description
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
Completion methods
Course exam and exercises. Part of the exercises may be obligatory.
Final exam is an other option.
Assessment details
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.
Learning outcomes
* the student knows the theorems from the course about the existence and the behaviour of solutions
* the student can solve some stochastic differential equations
Additional information
The course is given every second year. It is given in 2018 and 2020.
Description of prerequisites
Study materials
Literature
- Karatzas, Ioannis, Shreve, Steven: Brownian Motion and Stochastic Calculus, 1998, Springer; ISBN: 978-1-4612-0949-2