Brownian motion and stochastic differential equations
The Brownian motion is a canonical example of a stochastic process which is both a martingale and a Markov process. Using the Brownian motion we develop stochastic integrals as well as stochastic differential equations, which are then used to formulate and study problems of stochastic control and stopping.
The course treats Brownian motion (the Wiener process), Itô integrals, Itô's formula and stochastic differential equations as well as their properties and relations to partial differential equations. The course also covers optimal stopping theory and the theory of optimal stochastic control, as well as applications. In addition, some basic concepts of measure theoretic probability theory is treated.
Information for admitted students autumn 2024
Congratulations! You have been admitted at Stockholm University and we hope that you will enjoy your studies with us.
In order to ensure that your studies begin as smoothly as possible we have compiled a short checklist for the beginning of the semester.
Follow the instructions on whether you have to reply to your offer or not.
universityadmissions.se
Checklist for admitted students
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Activate your university account
The first step in being able to register and gain access to all the university's IT services.
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Register at your department
Registration can be done in different ways. Read the instructions from your department below.
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Read all the information on this page
Here you will find what you need to know before your course or programme starts.
IMPORTANT
Your seat may be withdrawn if you do not register according to the instructions provided by your department.
Information from your department
On this page you will shortly find information on registration, learning platform, etc.
Welcome activities
Stockholm University organises a series of welcome activities that stretch over a few weeks at the beginning of each semester. The programme is voluntary (attendance is optional) and includes Arrival Service at the airport and an Orientation Day, see more details about these events below.
Your department may also organise activities for welcoming international students. More information will be provided by your specific department.
Find your way on campus
Stockholm University's main campus is in the Frescati area, north of the city centre. While most of our departments and offices are located here, there are also campus areas in other parts of the city.
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For new international students
The course treats Brownian motion (the Wiener process), Itô integrals, Itô's formula and stochastic differential equations as well as their properties and relations to partial differential equations. The course also covers optimal stopping theory and the theory of optimal stochastic control, as well as applications. In addition, some basic concepts of measure theoretic probability theory is treated.
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Course structure
The course consists of one element.
Teaching format
Teaching consists of lectures and exercise sessions.
Assessment
Assessment takes place through written examination and hand in problems.
Examiner
A list of examiners can be found on
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Schedule
The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course. -
Course literature
Note that the course literature can be changed up to two months before the start of the course.
Øksendal: Stochastic Differential Equations. Springer.
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More information
Course web
We do not use Athena, you can find our course webpages on kurser.math.su.se.
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Contact
