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Syllabus:

Stochastic Differential Equations, 7.5 credits

The course is discontinued

Swedish name: Stokastiska differentialekvationer
This syllabus is valid: 2014-08-18 valid to 2017-06-25 (newer version of the syllabus exists)
Syllabus for courses starting before 2017-06-25
Course code: 5MA151
Credit points: 7.5
Education level: Second cycle
Main Field of Study and progress level: Mathematics: Second cycle, has only first-cycle course/s as entry requirements
Computational Science and Engineering: Second cycle, has only first-cycle course/s as entry requirements
Mathematical Statistics: Second cycle, has only first-cycle course/s as entry requirements
Grading scale: Pass with distinction, Pass, Fail
Responsible department: Department of Mathematics and Mathematical Statistics
Established by: Faculty Board of Science and Technology, 2014-10-21

Required Knowledge

Courses in Linear Algebra, Statistics for Engineers , Differential Equations and Multivariable Calculus. Proficiency in English equivalent to Swedish upper secondary course English A (IELTS (Academic) with a minimum overall score of 5.5 and no individual score below 5.0. TOEFL PBT (Paper-based Test) with a minimum total score of 530 and a minimum TWE score of 4. TOEFL iBT (Internet-based Test) with a minimum total score of 72 and a minimum score of 17 on the Writing Section). Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.

Literature

Allen E.
Modeling with Itô stochastic differential equations
Dordrecht : Springer : c2007. : xii, 228 p. :
ISBN: 9781402059520 (inb.)
Mandatory
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Numerical solution of stochastic differential equations
Kloeden Peter E., Platen Eckhard
Berlin : Springer-Vlg : cop. 1992 : xxii, 632 s. :
ISBN: 3-540-54062-8 (Berlin)
Mandatory
Search the University Library catalogue