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 2021

- Course coordinator: Patrik Albin
- Schedule 2021

#### Course information 2020

- Course coordinator: Patrik Albin
- Schedule 2020

#### Course information 2019

- Course coordinator: Patrik Albin
- Schedule 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 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