Tidsplanen for eksamen i stokastisk analyse II
onsdag, 7. juni, rom B71
9:00 Skeie, Kjersti 10:00 Ingebrigtsen, Morten Gaarden 11:00 Sjastaad, Joergen 13:00 Samuelsen, Lasse Joachim 14:00 Lie, Ole Nikolai 15:00 hovedoppgave
torsdag, 8. juni, rom B71
9:00 Leirvik, Thomas 10:00 Hoeyland, Jan Helge 11:00 Biswas, Imran Habib 13:00 Lunde, John Alexander 14:00 Raabe, Dag 15:00 Schaal, Christian
Pensumskravet i boken til Bernt Oeksendal:
Kapittel 7: Weak and strong Markov property of Ito diffusions, generator of an Ito diffusion, Dynkin's formula and applications, characteristic operator
Kapittel 8: Kolmogorov's backward equation, Feynman-Kac formula, Levy's characterization of Brownian motion, Girsanov's theorem.
Kapittel 9: stochastic Poisson problem
Kapittel 11: Hamilton-Jacobi-Bellman equation I, II
Kapittel 12: Option pricing in a generalized Black-Scholes market