Syllabus/achievement requirements

Bernt ?ksendal: Stochastic Differential Equations, 2013. Springer. (6th Edition Corrected Printing).

Chapters:  

1,

2,

3, sections 3.1, 3.2 and 3.3 until page 35 "A comparison of Ito and Stratonovic integrals"

4,

5, From Example 5.3.2 is self-read (pages 75-76)

6,

7, Section 7.1, 7.2 (except page 122-123, "Hitting distributions..."), 7.3, 7.4. Section 7.5 is self-read

8, Section 8.6,

Appendix B

In addition, all given exercises.

 

 

Published Jan. 16, 2017 2:41 PM - Last modified Apr. 24, 2017 2:10 PM