MAT4711 – Stochastic analysis II
The course is divided into two parts. In the first part the course gives an introduction to Ito stochastic differential equations. In particular the focus is given on Ito diffusions and some applications to boundary value problems will be presented. The second part will deal with applications to optimal stopping, stochastic control and mathematical finanse.
The students will be given theoretical and practical notions on Ito calculus and differential equations. The Ito formula will be a fundamental tool for studying the solutions of those equations. Use of martingale techniques will be exploited. Problems related to optimal stopping, stochastic control and mathematical finanse will be presented and the techniques for their solutions will be studied.
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Recommended previous knowledge
- 10 credits with MAT4710.
- 15 credits with MA374.
- 5 credits with MA404.
*The information about overlaps is not complete. Contact the Department for more information if necessary.
6 hours of lectures/exercises per week in the second half of the spring semester. Follows on from MAT4700 – Stochastic analysis I (discontinued) and should be taken in the same semester.
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.
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 due to illness or other valid reason of absence were unable to sit for their final exams may apply for participation in deferred examinations. Deferred examinations are arranged either later in the same semester or early in the semester following the exam in question. Documentation of valid reasons for absence from the regular exam must be submitted upon application to participate in deferred examinations.
Students who have failed an exam, who withdraw during an exam, and students who wish to retake an exam to achieve a better grade may not participate in deferred exams, but may retake the exam when it is regularly scheduled.