Published Feb. 20, 2017 3:27 PM

Here you can find the midterm compulsory assignment:

Compulsory Assignment

All the information regarding this assignment, deadline, how to hand in...etc. is in the pdf file.

Published Feb. 20, 2017 3:21 PM

The final exam in this course will be oral. Further information will be provided before finishing the lectures.

Published Jan. 22, 2017 7:28 PM

The lecture to be held on the 1st of February is cancelled.

The lectures to be held on the 15th of February, 1st of March, 15th of March, 29th of March  and 5th of April are moved to the 16th of February, 2nd of March, 16th of March, 30th of March and 6th of April, respectively.

The lectures on the new dates will be held on the classrom 107 from 12:15 to 14:00. 

Published Jan. 22, 2017 7:11 PM

In this course we will study the continuous time nonlinear stochastic filtering problem and some of its applications to mathematical finance.

The program, time permitting, will be the following:

- Introduction of the problem

- The filtering problem as a measure valued random evolution.

- Review on stochastic processes and stochastic integration.

-The filtering equations: the Zakai and Kushner-Stratonovich equations.

- Properties of the solutions of the filtering equations.

- Finite dimensional filters: the Benes and Kalman-Bucy filter.

- Numerical methods: particle filters.

- Basics on discrete time stochastic filtering.  

- Applications to mathematical finance.

The main reference for the course is 

Bain, A. and Crisan, D. Fundamentals of Stochastic Filtering Springer Verlag 2009.

You have available this book in digital format through the UiO library.