TMS165 / MSA350 Stochastic calculus Autumn 21

TMS165 / MSA350 Stochastic calculus Autumn 21

Course PM

Course PM pdf-file.

Handouts etc

Not all material from Chapters 1-6 and 10 in Klebaner's book will be covered during lectures, but only selected topics from those chapters. Also, there are a few theoretical addition to the material in Klebaner's book. The details of these selections and additions are described here pdf-file.

Lecture notes on applications by Patrik Albin pdf-file.

Lecture notes on numerical methods for SDE by Stig Larsson pdf-file.

Lectures as pdf's and movies

Lecture on Chapter 1 in Klebaner as pdf and movie.

Lecture on Chapter 2 in Klebaner as pdf and movie. Nota bene: Some material in the lecture pdf for Chapter 2 is more ambitious than the above mentioned selections and additions, but regarding the scope of the written exam it is the selections and additions that rule.

Lecture on Chapter 3 in Klebaner as pdf and movie.

Lecture on Chapter 4 in Klebaner with theoretical additions as pdf and movie part 1, movie part 2.

Lecture on Chapter 5 in Klebaner as pdf and movie part 1, movie part 2.

Lecture on Chapter 6 in Klebaner as pdf and movie part 1, movie part 2.

Lecture on Chapter 10 in Klebaner as pdf and movie part 1, movie part 2.

Lecture on Applications as pdf.

Lecture on Numerical methods as pdf and movie part 1, movie part 2, movie part 3, movie part 4.

Zoom consultation meeting Wednesday 20 October 1.15-3 PM. Link to meeting will be communicated in announcement and sent to students by Canvas message.

Exercises

Link to Exercises.

Program for digital exercises

Friday 3 September 8-9.45 am: Home exercises on Chapters 1 and 2 in Klebaner as pdf and movie.

Friday 10 September 8-9.45 am: Home exercises on Chapter 3 in Klebaner as pdf and movie.

Friday 17 September 8-9.45 am: Home exercises on Chapter 4 in Klebaner as pdf and movie.

Friday 24 September 8-9.45 am: Home exercises on Chapter 5 in Klebaner as pdf and movie.

Friday 1 October 8-9.45 am: Home exercises on Chapter 6 in Klebaner as pdf and movie part 1, movie part 2.

Friday 8 October 8-9.45 am: Home exercises on Chapter 10 in Klebaner as pdf and movie.

Friday 15 October 8-9.45 am: Home exercises on Numerical methods as pdf and movie part 1, movie part 2.

Old Exams

Link to Old Exams.

Program

The schedule of the course is in TimeEdit.

Additional information about the course can be found at Chalmers Student Portal.

Course Representatives

Kubilay Muameleci kubilay@student.chalmers.se

Wenjin Yuan wenjiny@student.chalmers.se

Querys

Questions about the course should be sent by email to Patrik Albin palbin@chalmers.se.

 

 

Course summary:

Date Details Due