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MM802 Stochastic Differential Equations I E 2010

General information

Official course description. It is easier to access this directly from Blackboard.

The lectures

given by Niels Jørgen Nielsen will be held on Mondays 14-16 (for lecture rooms, see below) and Wednesdays 10-12 in IMADAs seminar room. The course starts on Wednesday, September 1.

The lecture rooms for Mondays will be: 6.9 in U144, 13.9-27.9 and 11.10 in U10, 4.10 in U141.

Please note that though this course is a semester course, its schedule has only been settled until the Autumn vacations.

Teaching material:

  • Bernt Øksendal, Stochastic Differential Equations, 6. Edition (or later), Springer Verlag.
  • Lecture notes.

    • The oral exam January 2011:

  • The oral exam will take place January 19., and the starting time and the place will be announced later. The syllabus and the questions for the oral exam can be found here. As usual you have half an hour's preparations after you have drawn your question.

    • Announcements:

  • I have ordered enough copies of the book to be sold in the book store and I will inform you when it has arrived. We do not need it the first two weeks.

    Lecture notes:

  • Noter om den Brownske bevægelse, 19 sider  pdf-format (in Danish).
  • Brownian Motion, 20 pages  pdf-format  ps-format (The English version of the notes above).
  • Noter om Hilbertrumsteori, side 15--26  pdf-format (in Danish).
  • Noter om Doobs ulighed med mere, 8 sider  pdf-format (p.t. only in Danish).
  • Noter om tidshomogene Ito diffussionsprocesser, 14 sider   ps-format   pdf-format (p.t only in Danish).
  • Levy's characterization of Brownian motion, 5 pages   pdf-format.
  • Supplerende noter om martingalerepræsentationssætningen og stoppetider., 5 sider   pdf-format (p.t. only in Danish).

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