Some practical information
As already mentioned; the physical lectures will have limited capacity. We will therefore divide the class, such that one half will be allowed to attend the classes on Tuesdays and the other on Thursdays.
These physical lectures will be reflections around the video lectures for the respective week. It is therefore very important that everyone watches the video lecture before attending the physical lecture. In addition, we will go through some practical examples, exercises and discuss some elements of proofs presented in the video lectures during the physical lectures.
We divide the class in the following way:
Tuesday lectures: Everyone with last name starting on a letter before M in the alphabet.
Thursday lectures: Everyone with last name starting on a letter after M (or starting on M) in the alphabet.
(If you prefer to change physical lecture day from Tuesday to Thursday (or Thursday to Tuesday), you are welcome to do so, but please let Fabian know in advance so that not everyone shows up on the same day).
There will be one video lecture pr. week, and everyone should therefore watch one video lecture for each week, before attending physical lecture. The plan for the video lecture is the following:
- Week 1 (25/27. Aug.) Video: Introduction + 1. Probability
- Week 2 (1/3. Sep.) Video: 1. Probability
- week 3 (8/10. Sep.) Video 2 Stochastic Processes
- week 4 (15/17. Sep.) Video 3. Martingales pt. 1
- week 5 (22/24. Sep.) Video 4. Martingales pt. 2
- Week 6 (29. sep/1.Oct) Video 5. Ito Integral pt. 1
- Week 7 (6/8. Oct) Video 6. Ito integral pt. 2.
We will update with more videos in september.
The video lectures are based on the following three books:
Main: "?ksendal: Stochastic differential equations - An introduction with applications"
Supplementary literature: "Varadhan: Probability theory" (Courant lecture series)
and
"Karatzas, Shreve: Brownian motion and Stochastic calculus" .
The video lectures will be the main curriculum, with the additional lectures notes, which can be found on this page.
The exam date is set to 22. December (written). Depending on the number of students it might be that we will go with oral examination, and in that case, the exam date might be changed, but still most likely be in December.
We are looking forward to see you!
/Torstein and Fabian