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.

Proof of inequality (8) in Stig Larsson's lecture notes pdf-file.

Lecture notes on stochastic control for guest lecture 16 October by Adam Andersson 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. Conversion of Stratonovich SDE to Ito SDE pdf.

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 and movie part 1, movie part 2.

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

Exercises

Link to Exercises.

Program for digital exercises

Friday 5 September 10-11.45 am: Home exercises on Chapters 1 and 2 in Klebaner as pdf and movie.

Friday 12 September 10-11.45 am: Home exercises on Chapter 3 in Klebaner as pdf and movie.

Friday 19 September 10-11.45 am: Home exercises on Chapter 4 in Klebaner as pdf and movie.

Friday 26 September 10-11.45 am: Home exercises on Chapter 5 in Klebaner as pdf and movie.

Friday 3 October 10-11.45 am: Home exercises on Chapter 6 in Klebaner as pdf and movie part 1, movie part 2.

Friday 10 October 10-11.45 am: Home exercises on Chapter 10 in Klebaner as pdf and movie.

Friday 17 October 10-11.45 am: Home exercises on Numerical methods as pdf and movie part 1, movie part 2.

Use of AI tools

[The extent to which and how AI tools may be used and how their use is to be reported are specified here. This is particularly important for examinations such as assignments and quizzes. If it is only a written exam, this may be sufficient: “During your studies, you are free to use AI tools to support your learning. During the exam, the use of any kind of AI tools is not allowed.” ] 

Old Exams

Exam_20250108_with_solutions.pdf

Exam_20241029 with solutions.pdf

Exam_20240823_with_solutions.pdf

Exam_20240104_with_solutions.pdf

Exam_20231024_with_solutions.pdf

Exam_20230818_with_solutions.pdf

Exam_20230104_with_solutions.pdf

Exam_20221025 with_solutions.pdf

Exam_20220819 with_solutions.pdf

More old exams.

Program

The schedule of the course is in Time Edit.

Additional information about the course can be found at Chalmers student portal.

Course Representatives

Querys

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