Pensum/Syllabus

Bernt ?ksendal: Stochastic Differential Equations, 2013. Springer. (6th Edition Corrected Printing).

Chapters:  

1.

2.

3. Sections 3.1, 3.2 and 3.3 until page 35 "A comparison of Ito and Stratonovic integrals"

4.

5. From Example 5.3.2 is self-read (pages 75-76)

6.

7. Section 7.1, 7.2 (except page 122-123, "Hitting distributions..."), 7.3, 7.4. Section 7.5 is self-read

8. Section 8.1, 8.2, 8.6

If time permits, we will also study the chapters

11.

12.

Appendix B

In addition, all given exercises.