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TMS165/MSA350 Stochastic Calculus, 7.5 credits, 1st Quarter, Fall 2016


First lecture is Tuesday 30 August 3.15 pm in room Euler.

Course Programme pdf-file, ps-file.

Not all material from Chapters 1-6 and 10 in Klebaner's book will be covered during lectures, but only selected topics from those chapters. Also, there are a few theoretical addition to the material in Klebaner's book. The details of these selections and additions are described here pdf-file, ps-file.

Lecture notes on applications by Patrik Albin pdf-file, ps-file.

Lecture notes on numerical methods for SDE by Stig Larsson pdf-file, ps-file.

Web-page for exercises.

Student representatives for the course are Johan Björk jobjork@student.chalmers.se, Ingjerd Myhre ingjerd@student.chalmers.se and Daniel Thuresson danthu@student.chalmers.se.

Old exams.

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


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

www: http://www.chalmers.se/sv/personal/Sidor/patrik-albin.aspx
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


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