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The exams are starting at 13:00 on Monday June 4. The room is "End of the Line" at the offices in Ullev?l stadion, Sognsveien 77B.
All candidates shall show up at 13:00.
Information about the oral exam is posted in an earlier message.
The final exam is oral and it is going to be held on Monday June 4th. Time and place will be communicated later.
The students representative is:
Simona Titocci
simonat [at] student.matnat.uio.no
After discussion in class, the schedule of the course is changed.
Please note that the course is held on Mondays 13:15-16:00 at Ullev?l offices (Sognsveien 77B), Room "End of the Line".
The description of the plan is changed automatically in accordance with the schedule. As you read, all the information (topic, references, suggested exercises) is still there.
The first lecture is on Monday January 15th, welcome to the course!
In this course we shall study some techniques of stochastic integration beyond the Ito calculus, or the so called non-anticipating integration. Here "anticipating" and "non-anticipating" is referred to the information flow. We shall also introduce the concept of stochastic derivative.
These concepts and the calculus associated constitute a baggage of tools that has turned out to be powerful both in the development of stochastic theory, mathematical statistics, and also directly in applications. The applications we are focusing on are related to financial modelling and control.
This course introducing the Malliavin calculus both for Brownian motion and for Levy processes. The necessary introduction to Levy processes will be given in class.
Details about the lectures will be posted under the s...