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There was a typo in Theorem 9.9 (It?'s formula 3)

Please check the new version.

Please check that the version of the lecture notes is the one with the date May 27, 2019. You can find the date at the bottom-left of each page (except for the first page of each chapter).

For the material in Chapter 6-10, focus on knowing results with name (at least its statement) and the kind of questions I put on the trial exam: It?'s formula and martingality criterion for (exponentials of) L¨¦vy-type stochastic integrals.  

I wish you good luck! (but prepare well the exam :-) )

Please find here the definitive syllabus for the course. This is the content subject to examination. All the references are to the notes of the course. When after a theorem, proposition, etc... you find (proof), it means that you need to know the proof. 

You can find the solutions for the mock exam here.

You can find the solutions for the compulsory assignment here.

Please find here the exercises solved

On Wednesday 22th May, we are going to solve a mock exam. 

Please find here a new version of the compulsory assignment, where I've corrected some typos and I've given some new hints.

The next Thursday, April 25, the lectures are cancelled because there is a mini-course on "Deep Learning in Scientific Computing",

Audtitorium 2, Vilhelm Bjerknes hus from 13:15-16:00.

You are all welcome to attend!

Please find here the compulsory assignment. Instructions are written on the paper.

The student's representative for the course is ?smund Hausken Sande. You can reach him at

Aahsande "at" gmail.com 

You can find the notes of the lectures in the folder on the left-hand side of the webpage.

Welcome to the course!

The first lecture will be next Wednesday, 16th of January.

The lectures will take place in the classroom 1020 in N.H.A. Hus.

Wednesdays: 10:15-12:00

Thursdays: 14:15-16:00

Please find here a tentative syllabus for the course and some general information.