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.

www: http://www.chalmers.se/math/SV/organisation/matematisk-statistik/personal/larare-och-forskare/albin-patrik

Personal homepage: http://www.math.chalmers.se/~palbin

Email: palbin@chalmers.se

Telephone: 031 / 772 3512

Fax: 031 / 772 3508

Room: L3072

Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden