MM802: Stochastic Differential Equations I (10 ECTS)

STADS: 13002901

Level
Master's level course

Teaching period
The course is offered in the autumn semester.
1st and 2nd quarter.

Teacher responsible
Email: njn@imada.sdu.dk

Timetable
There is no timetable available for the chosen semester.

Comment:
Ubegrænset deltagerantal. 1. + 2. kvartal.

Prerequisites:
None

Academic preconditions:
The content of MM506, MM513 and MM517 must be known.

Course introduction
To give the students a thorough introduction to Ito integrals and their applications.

Expected learning outcome
At the end of the course the students are expected to be able to:

• write down and solve stochastic differential equations in concrete situations within the contents of the course
• give an oral presentation of the statement and proof s related to any subject on a previously given list of topics within the course syllabus
• formulate the oral presentation in a mathematically correct way
• answer supplementary questions from the teacher and external examiner on definitions and results from the course syllabus.

Subject overview
The Brownian motion, the Ito integral, existence and uniqueness of solutions to stochastic differential equations, the Markov property for Ito diffision processes.

Literature
There isn't any litterature for the course at the moment.

Syllabus
See syllabus.

Website
This course uses e-learn (blackboard).

Prerequisites for participating in the exam
None

Assessment and marking:
Oral exam. Danish 7 mark scale, external examiner.

Reexamination follows the rules of the study board.

Expected working hours
The teaching method is based on three phase model.

Forelæsninger: 56 timer.
Educational activities

Language
This course is taught in English, if international students participate. Otherwise the course is taught in Danish.

Course enrollment
See deadline of enrolment.

Tuition fees for single courses
See fees for single courses.