MSA350 Stochastic Calculus 7,5 hec


Calculus, including integration, differentiation, and differential equations are of fundamental importance for modelling in most branches on natural sciences. However, these tools are insufficient to model phenomena which include ”chance” or ”uncertainty”, like noise disturbances of signals in engineering, uncertainty about future stock prices in finance, and the macroscopic result of many microscopic particle movements in natural sciences. Among the most important tools required for the modelling of the latter phenomena are stochastic analysis and stochastic differential equations. The course gives a solid basic knowledge of stochastic analysis and stochastic differential equations. Tools from calculus, probability theory and stochastic processes that are required in stochastic calculus. Brownian motion calculus. Elements of Levy processes and martingales. Stochastic integrals. Stochastic differential equations. Examples of applications in engineering, mathematical finance and natural sciences. Numerical methods for stochastic differential equations.
 
The course is given
  • in the first half of autumn
  • jointly with Chalmers TMS165

 

Course information 2020

Course information 2019

Course information 2018

  • Course coordinator: Patrik Albin
  • Schedule 2018

Course information 2017

  • Course coordinator: Patrik Albin
  • Schedule 2017

Course information 2016

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2015

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2014

 
  • Course coordinator: Patrik Albin
  • Schedule

Course information 2013

 
  • Course coordinator: Patrik Albin
  • Schedule

Course information 2012

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2011

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2010

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2009

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2008

  • Course coordinator: Patrik Albin
  • Schedule

Course information 2007

  • Course coordinator: Patrik Albin
  • Schedule

Published: Wed 17 Jun 2020.