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

First Quarter, Fall 2013 (Läsperiod 1, Höstterminen 2013)

First lecture is Tuesday 3 September 3.15 pm in room MVF33.

Course Programme pdf-file, ps-file.

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. 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 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 Lecture 14) pdf-file, ps-file.

Web-page for exercises.

Student representatives for the course are Edo van de Burgwal, Simon Hall and Sara Mikkilä

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 MVE136 Random Signals Analysis, 7.5 credits, First Quarter Fall 2013.

Link to MVE170/MSG800 Basic Stochastic Processes, 7.5 credits, Second Quarter Fall 2013.

Link to TMS170/MSA360 Stochastic Calculus Part II, 7.5 credits, Second Quarter Fall 2009. (This course will not be given again in the forseeable future.)

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