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Topics in Stochastic Calculus
Provider: Faculty of Science

Activity no.: 5573-18-07-31 
Enrollment deadline: 19/11/2018
Tilmelding : Topics in Stochastic Calculus
ECTS credits7.50
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time19.11.2018, at: 08:00 -
11.11.2018, at: 16:00

Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserPeter James Johnson    E-mail address: peter.johnson@math.ku.dk
Teaching languageEnglish partially in English
Semester/BlockBlock 2
Scheme groupC
Exam formOral examination, 30 min. Without time for preparation
Exam formOral examination
Exam detailsOnly certain aids allowed. The student may bring notes to the oral exam, but they are only allowed to consult these in the first minute after they have drawn a question. After that, all notes must be put away. 7-point grading scale. No external censorship.
Course workload
Course workload categoryHours
Lectures28.00
Preparation177.00
Exam1.00

Sum206.00


Target group
Knowledge:
Basic knowledge of the topics covered

Skills:
understand the concept of the stochastic integral
be able to apply basic facts and theorems of stochastic calculus
understand the concept of stochastic differential equations

Competences:
To make the student operational and to give the student knowledge to pursue further applications where stochastic calculus plays a role.

Teaching and learning methods
Knowledge:
Basic knowledge of the topics covered

Skills:
understand the concept of the stochastic integral
be able to apply basic facts and theorems of stochastic calculus
understand the concept of stochastic differential equations

Competences:
To make the student operational and to give the student knowledge to pursue further applications where stochastic calculus plays a role.

Content
This course will be concerned with selected topics in stochastic calculus such as, for example, stochastic integral (Ito's integral) with respect to continuous semimartingales, Ito's formula, The Levy characterization theorem, stochastic differential equations.

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