This course is discontinued

Schedule, syllabus and examination date

Choose semester

Course content

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.

Learning outcome

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.

Admission

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.

Overlapping courses

15 credits with MA374.

5 credits with MA404.

*The information about overlaps is not complete. Contact the Department for more information if necessary.

Teaching

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.

Examination

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.

Explanations and appeals

Facts about this course

Credits

10

Teaching

Spring. Taught according to demand and resources.

Examination

Spring. Taught according to demand and resources.

Teaching language

Norwegian (English on request)