MAT4710 – Stochastic analysis II
Course description
Schedule, syllabus and examination date
Course content
The course is divided into two parts. In the first part the course gives an introduction to Ito stochastic differential equations. In particular the focus is given on Ito diffusions and some applications to boundary value problems will be presented. The second part will deal with applications to optimal stopping, stochastic control and mathematical finanse.
Learning outcome
The students will be given theoretical and practical notions on Ito calculus and differential equations. The Ito formula will be a fundamental tool for studying the solutions of those equations. Use of martingale techniques will be exploited. Problems related to optimal stopping, stochastic control and mathematical finanse will be presented and the techniques for their solutions will be studied.
Admission
Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.
If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.
Prerequisites
Recommended previous knowledge
MAT3300 – Measure and integration (discontinued)/MAT4300 – Measure and integration (discontinued) and MAT4700 – Stochastic analysis I (discontinued).
Overlapping courses
15 credits with MA374.
5 credits with MA404.
*The information about overlaps is not complete. Contact the Department for more information if necessary.
Teaching
6 hours of lectures/exercises per week in the second half of the spring semester. Follows on from MAT4700 – Stochastic analysis I (discontinued) and should be taken in the same semester.
Examination
Oral exam. Letter grading (A-F).
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.