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TMS165/MSA350 Stochastic Calculus, 7.5 credits, 1st Quarter, Fall 2018

First lecture is Tuesday 4 September 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 Oskar Eklund, Erik Holmberg and Fabian Mikulasch

It is mandatory for all students to register for written exams: If not registered properly for an exam beforehand you are not allowed to take the exam.

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.

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