MAT9700 – Stochastic analysis I
Course description
Course content
The course gives an introduction to Ito stochastic calculus and stochastic differential equations. In particular the course will focus on Ito diffusions and some applications to boundary value problems will be presented.
Learning outcome
The students will be given theoretical and practical notions on Ito calculus and differential equations. The Ito formula will be a fundamental tool for studying the solutions of those equations. Use of martingale techniques will be exploited.
Admission
To participate in this course you must have an admission to a Ph.D.-programme at a Norwegian University or University College.
If you do not have an admission to the Ph.D.-Programme in Science at The Faculty of Mathematics and Natural Sciences at UiO, you have to apply for hospitantstatus (norwegian text) . For more information, please contact the Department.
Prerequisites
Formal prerequisite knowledge
None.
Recommended previous knowledge
MAT3300 – Measure and integration (discontinued)/MAT4300 – Measure and integration (discontinued).
Overlapping courses
10 credits with MA374.
10 credits with MAT4700 – Stochastic analysis I (discontinued).
*The information about overlaps is not complete. Contact the Department for more information if necessary.
Teaching
6 hours lecturer/exercises per week in the first half of the spring semester. Followed by MAT4710 – Stochastic analysis II (discontinued).
Examination
Oral exam.
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a pass/fail scale. Read more about the grading system.
Explanations and appeals
Resit an examination
Students who can document valid reasons for failing to attend their final exams within given deadlines may participate in deferred examinations. Deferred examinations are arranged either later in the same semester or early in the semester following the exam in question.
Students who have failed an exam, who withdraw during an exam, and students who wish to retake an exam to achieve a better grade may not participate in deferred exams, but may retake the exam when it is regularly scheduled.
Information about deferred and new examination (also called repeat examination) is found here