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Syllabus for

Academic year
TMS170 - Stochastic calculus - Part II
 
Owner: TM
5,0 Credits (ECTS 7,5)
Grading: TH - Five, Four, Three, Not passed
Level: D
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 No Sp
0104 Project 5,0 c Grading: TH   5,0 c    

In programs

EMMAS MSc PROGR IN ENGINEERING MATHEMATICS, Year 1 (elective)
TM Teknisk matematik, Year 2 (elective)

Examiner:

Docent  Patrik Albin



Eligibility:

For single subject courses within Chalmers programmes the same eligibility requirements apply, as to the programme(s) that the course is part of.

Course specific prerequisites

Stochastic Calculus - Part I.

Aim

With Stochastic Calculus - Part I as a foundation, the course gives a significantly deepend knowledge about stochastic calculus. This deeper knowledge should be sufficient for all sorts of applications, even at a research level. At the same time, it serves as a basis for continued studies of stochastic calculus at a research level.

Content

Deepened studies of stochastic calculus, including diffusion processes, martingales, semimartingals, Markov processes, and change of probability measure (Girsanov transformation).
Application in electrical engineering, mathematical finance anf biology.

Organisation

Lectures. Supervising of hand-ins and projects.

Literature

F.C. Klebaner: Introduction to Stochastic Calculus with Applicaiotns, Imperial College Press.

Examination

Hand-ins and projects that are carried out in small groups.


Page manager Published: Thu 03 Nov 2022.