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The aim of the course is to introduce basic theories and
methods in stochastic calculus for applications in stochastic
control & optimization, financial mathematics and signal theory.
Prerequisities:
SF 2940 Probability Theory or equivalent course.
Examination:
There will be a written examination on Wednesday December 12, 2012, 8.00-13.00.
Registration for the written examination via "mina sidor"/"my pages"
is required. The time intevall during which registration shall be made will be announced later.
Registration requests otherwise addressed will not be processed.
Grades are set according to the quality of the written examination.
Grades are given in the range A-F, where A is the best and F means
failed, and Fx.
Fx means that you have the right to a complementary examination
(to reach the grade E).
The criteria for Fx is a grade F on the exam, and that an isolated part
of the course can be
identified where you have shown a particular lack of
knowledge and that the examination after a complementary examination on
this
part can be given the grade E.
One additional written examination will be given, the date will be announced later.
Homework:
There will be two homework assignments. Note that solving the homework
assignments are NOT a requirement for passing the course. You must work
individually. Correctly solved homework assignments handed in on time will result in that you will not have to solve parts of or the whole of the first exercise on the first exam after the deadline of the homework assignement.
Course literature:
Boualem Djehiche: Stochastic Calculus. An Introduction with
Applications.
Available from "Studentexpeditionen", Lindstedtsvägen 25.
Extra material about integration theory and probability theory will be handed out.
Preliminary plan
(CL=Camilla Landen, JN=Johan Nykvist)
| Day |
Date |
Time |
Place |
Topic |
Lecturer |
| Wed |
24/10 |
13-15 |
Q2
|
Integration theory
|
CL |
| Fri |
26/10 |
13-15 |
Q2
|
Probability theory
|
CL |
| Mon |
29/10 |
13-15 |
E3
|
Conditional expectation
|
CL |
| Wed |
31/10 |
13-15 |
Q2
|
Martingales in discrete time
|
CL |
| Fri |
2/11 |
13-15 |
Q2
|
Exercise
|
JN |
| Mon |
5/11 |
8-10 |
Q2
|
Stochastic integrals in discrete time
|
CL |
| Wed |
7/11 |
13-15 |
Q2
|
Exercise
|
JN |
| Fri |
9/11 |
13-15 |
Q2
|
Discrete Brownian motion
|
CL |
| Mon |
12/11 |
8-10 |
Q2
|
Girsanov's theorem
|
CL |
| Wed |
14/11 |
13-15 |
Q2
|
Martingales in continuous time
|
CL |
| Fri |
16/11 |
13-15 |
Q2
|
Exercise
|
JN |
| Mon |
19/11 |
8-10 |
Q2
|
Brownian motion
|
CL |
| Wed |
21/11 |
13-15 |
Q2
|
Ito integrals
|
CL |
| Fri |
23/11 |
13-15 |
Q2
|
Exercise
|
JN |
| Mon |
26/11 |
8-10 |
Q2
|
Ito's formula and applications
|
CL |
| Wed |
28/11 |
13-15 |
Q2
|
Stochastic differential equations
|
CL |
| Fri |
30/11 |
13-15 |
Q2
|
Exercise
|
JN |
| Mon |
3/12 |
8-10 |
Q2
|
Diffusion processes
|
CL |
| Wed |
5/12 |
13-15 |
Q2
|
Martingale representation
|
CL |
| Fri |
7/12 |
13-15 |
Q2
|
Exercise
|
JN |
Welcome, we hope you will enjoy the course!
Camilla and Johan
To course
web page
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