With MSA350 Stochastic Calculus Part I as a foundation, the course gives a significantly deepened knowledge about stochastic calculus which should be sufficient for all sorts of applications, even at a research level. At the same time, it serves as a basis for continued studies and theoretical development of the subject of stochastic calculus itself, as well as stochastic processes in general, in more theoretical research. Deepened studies of diffusion processes, martingales, semimartingales, Markov processes, and changes of probability measure (Girsanov transformation), as well as thorough treatment of applications in engineering, mathematical finance, and natural sciences, including modelling issues and modelling skills.
The course is given
- in the second half of autumn
- jointly with Chalmers TMS170
Course information 2010 and 2011 - the course is cancelled
- Examiner:Patrik Albin