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TMS165/MSA350 Stochastic Calculus, Part I, 7.5 credits (Stokastisk analys, del I, 7.5 poäng)

First Quarter, Fall 2010 (Läsperiod 1, Höstterminen 2010)

Course Programme pdf-file, ps-file.

First lecture is Monday 30 August 3.15 pm in room MVF33 (not in room Euler as have previously been announced).

Not all material from Chapters 1-6 and 10 in Klebaner's book will be covered during Lectures 1-11, but only selected topics from those chapters. What the precise selection is will be posted on the following web-link that is updated continuously during the course just before or just after each of the Lectures 1-11 pdf-file, ps-file.

Lecture notes on numerical methods for SDE by Stig Larsson (literature for Lectures 12-13) pdf-file, ps-file.

Lecture notes on applications by Patrik Albin (literature for the electronic Lecture 14) pdf-file, ps-file.

Link to Hand-ins and Programme for Exercises.

Old exams.

Additional information about the course can be found at Chalmers Student Portal. The corresponding www-page for University of Gothenburg is here.

Link to TMS170/MSA360 Stochastic Calculus Part II, 7.5 credits, Second Quarter Fall 2009. (This course is not given the academic year 2010/2011.)

Link to MVE135 Random Processes with Applications, 7.5 credits, First Quarter Fall 2010.

Link to MVE170/MSG800 Basic Stochastic Processes, 7.5 credits, Second Quarter Fall 2010.

Patrik Albin (Associate Professor) is responsible for the course. Welcome to contact Patrik for more information about the course.

Personal homepage:
Telephone: 031 / 772 3512
Fax: 031 / 772 3508
Room: L3072
Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden