MA8109

Stokastiske prosesser i systemteori

(Stochastic Differential Equations)

Fall 2013



Welcome to MA8109 !

  • Lectures:
    • Thursday .. 15:15-17:00, room 734 SB2.
    • Friday …… 08:15-10:00, room 734 SB2.
  • Office hours:
    • Monday 14:15-15:00, room 1148

Messages

  • 26.11.
    • Homework 5 (partial) solution posted, see 'Homework' in the left menu.
    • Projects:
      • Deadline Friday 29.11. (submit report to me by email)
    • Final curriculum is now available
      • See 'Curriculum' under 'General information' in the left menu.
    • Exams:
      • Tuesday 03.12. MA8109 Exam (written)
        • Note: Since the lectures and all written materiel in this course has been given in English, the exam problems will only be given in English. But you may write your answers in Norwegian or English as you like.
      • Wednesday 18.12. TMA4505 Exam (oral)
        • Remember to prepare 10 min presentation of project: oral or blackboard (or slides).
    • Office hours and plan of oral exam:
Day Time Room
Tuesday 26.11. 14:00 - 14:45 1148 SB2
Thursday 28.11. 14:00 - 15:00 1148 SB2
Friday 29.11. 09:15 - 10:00 734 SB2
Tuesday 03.12. MA8109 Exam (written)
Monday 16.12. 14:00-14:55 1148 SB2
Wednesday 18.12. TMA4505 Exam (oral)
10 min project presentation
Thor Mikkel 08:15-09:00 734 SB2
Ailo 09:00-09:45 734 SB2
Kristoffer 09:50-10:35 734 SB2
Magnus 10:40-11:25 734 SB2
Ole-Johan 11:30-12:15 734 SB2

  • 20.11.
    • Problem set 5:
      • Problem 7 was much more difficult than expected, I have now updated the text to give much more hints. Focus on the other problems.
      • Problem 8: I have corrected the problem text.
  • 18.11.
    • Reference group meeting today, see 'Reference group' in the left menu for a summary.
  • 13.11.
    • Problem set 5 posted under 'Homework' in the left menu.
      • It is long and the two last problems are from next weeks curriculum.
      • As before, the students will tex some of the solutions (problems 3, 4, 7, and 8).
  • 07.11.
    • The lectures starts agian today.
    • There will be regular lectures untill 22.11.
  • 25.10.
    • Problem set 4: Solutions posted, see 'Homework' in the left menu. Many thanks to everyone that has contributed.
  • 16.10.
    • On the exam
      • MA8109 students:
        • You have to take the written exam.
        • The date is already set by NTNU:
        • Tuesday 3.12.2013 15:00-19:00
      • TMA4505 students:
        • You must send me an email confirming you are TMA4505 students.
        • You will have to take the oral exam.
        • Tentative date for oral exam - Wednesday 18.12.
          • Submit the dates that are available for you here
            Answer Yes/No/IfNeedBe for each date.
          • Deadline: Friday 18.10.
    • Projects in week 43 and 44
      • Self-study 21.10.2013-4.11.2013
        • No lectures, office hours during lecture times.
      • Counts for 20% of the grade (how? see the left menu).
      • Deadlines:
        • Choice of project: Friday 18.10. (email to me)
        • Submission of written report: Friday 29.11. (email to me)
      • All info in 'The project' in the left menu.
  • 14.10.
    • Problem set 4 posted under 'Homework' in the left menu.
    • Problem set 3: Solutions posted, see 'Homework' in the left menu. Many thanks to everyone that has contributed.
    • Lecture plan for the following weeks:
      • Week 42: (17.10 and 18.10.)
        • Espen in Spain, Harald Krogstad gives the lectures.
      • Week 43 and 44:
        • Prosject work, no lecutes
        • Office hours: During lecture times and Monday 14:15-15:00
      • Week 46 - 47: Regular lectures
  • 11.10.
    • Reference group meeting Friday 11.10.
      • Summary under 'Reference group' in the left menu.
    • Homework: Read yourselves Øksendal chp. 5.3.
  • 03.10.
    • Grading of Master studentents.
      • In MA8109 you get pass/no pass, in TMA4505 you get grades as usual.
      • All master students will be allowed to take this course as TMA4505 this semester.
        (4th year MTFYMA students then take a regular course instead of TMA4505 in the 5th year).
      • If you want to change the code of the course, contact the IME faculty to do this. Vegard Rønning has said that they will help you do this even if the deadline has passed.
    • Problem set 3 posted under 'Homework' in the left menu. Note: It is long, so you may skip some of the problems.
      • As before, the students will tex some of the solutions. The problems will be assigned problems on 4.10.2013.
      • Please email in an attachment the tex-file of the solution of your problem to me by next Friday (11.10.). Use standard latex commands and not privat ones, test the code, but do not include \begin{document} \end{document} and the header in the file you send me.
  • 29.9.:
    • Problem set 2: Solutions posted, see 'Homework' in the left menu. Many thanks to everyone that has contributed.
      • I have made several corrections and posted a new version of Problem set 2.
    • Homework: Read A comparision of Ito and Stratonovich integrals, Øksendal p. 35-37
    • Reference group meeting today, see 'Reference group' in the left menu for a short summary.
  • 20.9.:
    • Problem set 2 posted under 'Homework' in the left menu. Note: It is long, so you may skip some of the problems.
  • 13.9.:
    • Solutions of problem set 1 posted under 'Homework' in the left menu. Many thanks to everyone that has contributed.
    • Questions about the solutions? Come and see me in the office hours Mondays 14:!5-15:00.
  • 5.9.:
    • Problem set 1 posted under 'Homework' in the left menu. Note: It is long, so you may skip some of the problems.
  • 20.8.:
    • The lecture times are not ideal, but there are almost no other possibilities.
    • We may change the times later, if e.g. other openings arise.

  • What is this course about?
    • Differential equations with noisy/uncertain coefficients (stochastic differential equations), and their solutions, continuous time stochastic processes: We give a mathematical background, the main results, and some applications
      (more details in 'General Information' in the left menu).
      Of the multitude of applications in science, engineering and other disciplines, the most famous one is perhaps the Black-Scholes model for option pricing in finance.
  • Who can take this course?
    • Interested students at Master or PhD level.
    • The level should be suitable for good 4th year students in the industrial mathematics program.
    • It can be taken as a regular course or a 'fordypningsemne'.
MonTueWedThuFri
08:15-09:00     
09:15-10:00     
10:15-11:00     
11:15-12:00     
12:15-13:00     
13:15-14:00     
14:15-15:00     
15:15-16:00     
16:15-17:00     
17:15-18:00     
2013-12-19, Espen Robstad Jakobsen