STK9310 – Diffusion Processes with Applications
Course description
Course content
The aim of the course is to learn about the more important classes of time-continuous Markovian processes, useful for describing various natural phenomena in biology, physics, finance, demography, etc. Brownian motion type processes are used as building tools. Diffusions are partly studied via infinitesimal drift and infinitesimal variance functions, and often emerge from the study of stochastic differential equations. Applications of the theory to modelling of real world phenomena are included, also involving parameter estimation and model validation issues.
Learning outcome
Students learn about the most useful classes of diffusion processes and their application to the study and interpretation of real world phenomena.
Admission
PhD candidates from the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.
Prerequisites
Recommended previous knowledge
STK2130 – Modelling by Stochastic Processes, STK4010 – Asymptotic theory (discontinued) or working knowledge at a similar level. Master's degree in statistics, or working knowledge on a similar level.
Overlapping courses
For information about the potential partial overlap with other courses, contact the Department.
Teaching
Each week, two hours of lectures plus one hour of exercises. If a small number of students are following the course, it may be organised on a self-reading basis, with one weekly hour of joint or individual supervision.
Examination
Depending on the number of students, the exam will be in one of the following four forms:
1. Only written exam
2. Only oral exam
3. A project paper followed by a written exam.
4. A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on a general impression after the final exam. (The two parts of the exam will not be individually graded.)
What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring semester.
Examination support material
Permitted aids at the exam if written: Approved calculator.
Oral exam: No aids permitted.
Information about approved calculators (Norwegian only)
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.
Grading scale
Grades are awarded on a pass/fail scale. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
Evaluation
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.