MAT4720 – Stochastic Analysis and Stochastic Differential Equations

Schedule, syllabus and examination date

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Exams after the reopening

As a general rule, exams will be conducted without physical attendance in the autumn of 2021, even after the reopening. See the semester page for information about the form of examination in your course. See also more information about examination at the MN Faculty in 2021.

Course content

The course gives a thorough basis for understanding stochastic dynamics and models. We will in particular study Brownian motion and martingales, Ito’s stochastic calculus, stochastic integration and martingale representation theorems, Ito’s Formula. We will present stochastic dynamical models via stochastic differential equations and study existence and uniqueness of solutions, linear stochastic differential equations, theory for diffusion processes, Markov processes, Dynkin’s Formula, Girsanov’s Theorem. The course gives an introduction to the most common numerical methods for stochastic differential equations.

Learning outcome

After completing the course you will

  • have a thorough understanding of stochastic methods that are in-between mathematical analysis and probability theory
  • know how to use the fundamental tools in stochastic analysis
  • be familiar with numerical methods for stochastic differential equations
  • know how to use methods of stochastic analysis for modeling in different application areas like finance, industry, technology, biology, etc.

Admission to the course

Students admitted at UiO must apply for courses in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

Nordic citizens and applicants residing in the Nordic countries may apply to take this course as a single course student.

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

Overlapping courses


4 hours of lectures/exercises per week throughout the semester.

The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.


Final written exam or final oral exam, which counts 100 % towards the final grade.

The form of examination will be announced by the lecturer by 15 October/15 March for the autumn semester and the spring semester respectively.

This course has 1 mandatory assignment that must be approved before you can sit the final exam.

It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: MAT9720 – Stochastic Analysis and Stochastic Differential Equations

Examination support material

No examination support material is allowed.

Language of examination

Courses taught in English will only offer the exam paper in English. You may submit your response 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.

Resit an examination

This course offers both postponed and resit of examination. Read more:

Special examination arrangements, use of sources, explanations and appeals

See more about examinations at UiO

Last updated from FS (Common Student System) Oct. 21, 2021 7:44:17 PM

Facts about this course

Teaching language