MAT4701 – Stochastic analysis with applications

Schedule, syllabus and examination date

Choose semester

Course content

Ito stochastic calculus. Martingales and representation theorems. Stochastic differential equations: existence and uniqueness of the solution. Theory of diffusions: Markov processes, Dynkin formula, Girsanov theorem. Applications: these may include linear filtering, optimal stopping and stochastic control theory.

Learning outcome

The students will learn about the theoretical and practical fundamental concepts within Ito calculus, martingale methods, stochastic differential equations and diffusion processes.
They will also see how the theory is applied within linear filtering, optimal stopping and stochastic control. The choice among the possible applications may vary from time to time.

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.

Prerequisites

Recommended previous knowledge

MAT3400 – Linear Analysis with Applications/MAT4400 – Linear Analysis with Applications and more optionally STK4510 – Introduction to methods and techniques in financial mathematics (discontinued) will give a good background to follow this course.

Overlapping courses

* For information about the potential partial overlap with other courses, contact the Department.

Teaching

4 hours lecturer/exercises per week.

Examination

Depeding on the number of students, the exam will be either oral or written.
What form the exam will take will be announced by the teaching staff within March 15th.

Final mark is given based 100% on the examination at the end of the semester.

Examination support material

No examination support material is allowed.

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.

Grading scale

Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.

Explanations and appeals

Resit an examination

Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.

Re-scheduled examinations are not offered to students who withdraw during, or did not pass the original examination.

Withdrawal from an examination

It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.

Special examination arrangements

Application form, deadline and requirements for special examination arrangements.

Evaluation

The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.

Facts about this course

Credits

10

Level

Master

Teaching

Every spring

MAT4701 is offered for the last time spring 2018 and will be continued as MAT4720 - Stochastic analysis and stochastic differential equations 

Examination

Every spring

Teaching language

English

The course is given in English. If no students have asked for the course in English within the first lecture, it may be given in Norwegian.