Semester page for MAT9740 - Spring 2018

The exams are starting at 13:00 on Monday June 4. The room is "End of the Line" at the offices in Ullevål stadion, Sognsveien 77B.

All candidates shall show up at 13:00.

Information about the oral exam is posted in an earlier message.

May 31, 2018 2:49 PM

A note in preparation to the exam is here

May 6, 2018 8:30 AM

As assignment, each PhD student has to prepare a presentation on one of the following topics:

- Regularity of solutions of SDE
- Absolute continuity of probability laws.
Starting basic references are Chapters 17 and 18 of [DØP] book.

Please communicate within the end of April which one of the two topics you have selected.

The presentation is going to be held on May 7th during classes.

Guidelines:
The idea is that youprepare an overview presentation, say around 30-40 minutes (max 1 hour).

The topics are in itself wide and central in the original questions of Malliavin calculus. However your scope of your presentation is to provide an overview of:

- what is the problem, what are the difficulties
- what is the main approach
- what are the main results
- selection of proof (sketch of the central idea)

Apr. 2, 2018 4:08 PM

The final exam is oral and it is going to be held on Monday June 4th. Time and place will be communicated later

Apr. 2, 2018 3:57 PM

The student representatives are:

Andrea Fiacco andrefi [at] math.uio.no

Marc Lagunas Merino marclagu [at] math.uio.no

 

Mar. 20, 2018 8:59 AM

After discussion in class, the schedule of the course is changed.

Please note that the course is held on Mondays 13:15-16:00 at Ullevål offices (Sognsveien 77B), Room "End of the Line".

The description of the plan is changed automatically in accordance with the schedule. As you read, all the information (topic, references, suggested exercises) is still there.

Jan. 30, 2018 3:44 PM

The first lecture is on Monday January 15th, welcome to the course!

In this course we shall study some techniques of stochastic integration beyond the Ito calculus, or the so called non-anticipating integration. Here "anticipating" and "non-anticipating" is referred to the information flow. We shall also introduce the concept of stochastic derivative. 

These concepts and the calculus associated constitute a baggage of tools that has turned out to be powerful both in the development of stochastic theory, mathematical statistics, and also directly in applications. The applications we are focusing on are related to financial modelling and control.

This course introducing the Malliavin calculus both for Brownian motion and for Levy processes. The necessary introduction to Levy processes will be given in class.

Details about the lectures will be posted under "Sche...

Jan. 14, 2018 10:06 PM