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Graduate Course in Stochastic Differential Equations, 4th Quarter, Spring 2009 (8+7 ECTS)
We will have lectures Mondays 10-11.45 am and Wednesdays 1.15-3 pm in Room MVH11 according to the following schelule
Lecture 1, Wednesday March 18, 1.15-3 pm in Room MVH11
Lecture 2, Monday March 23, 10-11.45 am in Room MVH11
Lecture 3, Wednesday March 25, 1.15-3 pm in Room MVH11
Lecture 4, Monday March 30, 10-11.45 am in Room MVH11
Lecture 5, Wednesday April 1, 1.15-3 pm in Room MVH11
Lecture 6, Monday April 27, 10-11.45 am in Room MVH11
Lecture 7, Wednesday April 29, 1.15-3 pm in Room MVH11
Lecture 8, Monday May 4, 10-11.45 am in Room MVH11
Lecture 9, Wednesday May 6, 1.15-3 pm in Room MVH11
Lecture 10, Monday May 11, 10-11.45 am in Room MVH11
Lecture 11, Wednesday May 13, 1.15-3 pm in Room MVH11
Lecture 12, Monday May 18, 10-11.45 am in Room MVH11
Lecture 13, Wednesday May 20, 1.15-3 pm in Room MVH11
Written Exam, Thursday May 28, 8.30 am - 1.30 pm in House V.
LECTURE NOTES
in their final form (as posted July 18) ps-format /
pdf-format
The written exam is without aids. The written exam is on Lectures 1-13
in the lecture notes. Typically the exam will not test
memory skills, but rather some basic skills in application of the
material we have covered. A score of 40% is required on the exam to
pass it. Students who have done many of the exercises should feel
assured that they will pass the exam. Undergraduate students will
get the highest possible grade (VG or 5) for a >=40% score on the
exam, regardless of what that score is. Undergraduate students who
will take up graduate studies this fall can have the course
registered as a graduate course at the time when their graduate
student appointment begins.
The course will continue with a second non-mandatory part consisting
of six additional lectures that gives a rather full
treatment of weak solutions together with the martingale theory
required to that end. In addition, as all we have done extends to
multidimensional SDE at the only cost of some added notational
difficuilty, it will be pointed out how some of the key results look
in several dimensions. This non-mandatory extension of the course
is examined by means of students handing in solutions to a healthy
number of exercises on these latter lecture notes, or in some other way.
The extension gives an additional 7 ECTS credits (in addition to the 8
ECTS credits earned for the first 13 lectures). The lecture notes for
the second part of the course are produced by Partik as quickly as
possible, and will be finished before midsummer. Students are welcome
to complete the second part of the course at any time of their own convenience.
Responsible for the course is Patrik Albin. All questions about the course are welcomed. Everybody is welcome to the course.
- Email: palbin@chalmers.se
- Telefon (Phone): +46 (31) 772 3512
- Fax: +46 (31) 772 3508
- Rum (Room): 3072
- Adress: Institutionen för Matematik, Avdelningen för
Matematisk Statistik, SE-412 96 Göteborg,
Sweden
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