There was a typo in Theorem 9.9 (Itô's formula 3)

Please check the new version.

June 10, 2019 2:40 PM

Please check that the version of the lecture notes is the one with the date May 27, 2019. You can find the date at the bottom-left of each page (except for the first page of each chapter).

For the material in Chapter 6-10, focus on knowing results with name (at least its statement) and the kind of questions I put on the trial exam: Itô's formula and martingality criterion for (exponentials of) Lévy-type stochastic integrals.  

I wish you good luck! (but prepare well the exam :-) )

June 7, 2019 10:41 AM

Please find here the definitive syllabus for the course. This is the content subject to examination. All the references are to the notes of the course. When after a theorem, proposition, etc... you find (proof), it means that you need to know the proof. 


May 25, 2019 6:58 PM

You can find the solutions for the mock exam here.

May 24, 2019 11:29 AM

You can find the solutions for the compulsory assignment here.

May 23, 2019 6:44 PM

Please find here the exercises solved

May 22, 2019 8:04 PM

On Wednesday 22th May, we are going to solve a mock exam

May 21, 2019 9:21 PM

Please find here a new version of the compulsory assignment, where I've corrected some typos and I've given some new hints.

Apr. 28, 2019 9:18 AM

The next Thursday, April 25, the lectures are cancelled because there is a mini-course on "Deep Learning in Scientific Computing",

Audtitorium 2, Vilhelm Bjerknes hus from 13:15-16:00.

You are all welcome to attend!

Apr. 24, 2019 4:34 PM

Please find here the compulsory assignment. Instructions are written on the paper.

Apr. 18, 2019 1:23 PM