MAT4710 – Stochastic analysis II
The course is divided into two parts. In the first part the course gives an introduction to Ito stochastic differential equations. In particular the focus is given on Ito diffusions and some applications to boundary value problems will be presented. The second part will deal with applications to optimal stopping, stochastic control and mathematical finanse.
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. Problems related to optimal stopping, stochastic control and mathematical finanse will be presented and the techniques for their solutions will be studied.
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Recommended previous knowledge
15 credits with MA374.
5 credits with MA404.
*The information about overlaps is not complete. Contact the Department for more information if necessary.
6 hours of lectures/exercises per week in the second half of the spring semester. Follows on from MAT4700 – Stochastic analysis I (discontinued) and should be taken in the same semester.
Oral exam. Letter grading (A-F).
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.