MA8109 Stochastic processes and differential equations

Fall 2019

Welcome to MA8109 !

This PhD course is given every second year, and usually 4th and 5th year (Master) students take it along with PhD students.

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 (MA8109) or a 'fordypningsemne' (TMA4505).


Date Title Message
03.06. Info meeting Monday August 19th, 14:15-15:00, at room 734 SB2.

- Info about the course.

- Decide on times for the lectures.

- Set up email list for course.

Cannot attend, but want to take the course?

- Send me an email where you include the times you are not free (have other lectures).

First Lecture Later in Week 34

Master student? You can take the course either as MA8109 or TMA4505 (fordypningsemne).

Grades: pass/fail in MA8109, A-F in TMA4505.

4th year MTFYMA students then take a regular course instead of TMA4505 in the 5th year.
2019-06-03, Espen Robstad Jakobsen