Course - Stochastic Processes and Differential Equations - MA8109
MA8109 - Stochastic Processes and Differential Equations
About
Lessons are not given in the academic year 2024/2025
Examination arrangement
Examination arrangement: Oral exam
Grade: Passed / Not Passed
| Evaluation | Weighting | Duration | Grade deviation | Examination aids |
|---|---|---|---|---|
| Oral exam | 100/100 | 1 days |
Course content
The course is an introduction to continuous time stochastic processes and stochastic differential equations. Survey of measure and probability theory. Independence and conditional expectation. Martingales. Continuous time stochastic processes. Brownian motion. The Ito integral and Ito calculus. Stochastic Differential Equations. Diffusions. The Kolmogorov equations. Applications of stochastic modelling.
Learning outcome
1. Knowledge. Review measure and probability theory. Independence and conditional expectation. Martingales. Brownian motion. The Ito integral and Ito calculus. Stochastic Differential Equations. Diffusions. Then Kolmogorov equations. Applications of stochastic modelling. 2. Skills. The students know the theory of stochastic processes and their applications to stochastic models. They master various stochastic techniques such as martingales, Ito integrals etc. 3. Competence. The students are able to participate in scientific discussions and do research related to stochastic processes at an international level, and also be able to participate in interdisciplinary projects involving stochastic processes and stochastic modeling.
Learning methods and activities
Lectures, alternatively guided self-study. The lectures may be given in English. The students should prepare a small report about a topic related to stochastic differential equations not covered in the lectures.
The course will be lectured every second year, next time Fall 2025. If few students attend, the course may be held as a tutored seminar.
Recommended previous knowledge
The course requires basic knowledge in probability theory and and some mathematical maturity. It is advantageous to have taken the course TMA4145 Lineære metoder.
Course materials
Will be announced at the start of the course.
Version: 1
Credits:
7.5 SP
Study level: Doctoral degree level
No
Language of instruction: English
Location: Trondheim
- Mathematics
Department with academic responsibility
Department of Mathematical Sciences
Examination
Examination arrangement: Oral exam
- Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
- Autumn ORD Oral exam 100/100
-
Room Building Number of candidates
- * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
For more information regarding registration for examination and examination procedures, see "Innsida - Exams"