"False"
Skip to content
printicon
Main menu hidden.

Stochastic Differential Equations

  • Number of credits 7.5 credits
  • Level Master’s level
  • Study form Web-based (online)
  • Starting Autumn Term 2024

Admitted to the course

Here you will find everything you need to know before the course starts.

About the course

This course covers a generalization of the classical differential- and integral calculus using Brownian motion. With this, Ito calculus stochastic differential equations can be formulated and solved, numerically and in some cases analytically. This yields a powerful tool for describing and simulating random phenomena in science, engineering and economics. The course starts with a necessary background  in probability theory and Brownian motion. Then the Ito integral and the fundamental theorem of Ito calculus, Ito’s lemma, are introduced. Furthermore, numerical and analytical methods  for the solution of stochastic differential equations are considered. The connections between stochastic differential equations and partial differential equations are investigated (the Feynman-Kac formula, the Fokker-Planck equation). Some applications of stochastic differential equations are presented. Mandatory computer assignments are included.



In a degree, this course may not be included together with another course with a similar content. If unsure, students should ask the Director of Studies in Mathematics and Mathematical Statistics. The course can also be included in the subject area of computational science and engineering.

Application and eligibility

Stochastic Differential Equations, 7.5 credits

Det finns inga tidigare terminer för kursen Autumn Term 2024 Det finns inga senare terminer för kursen

The information below is only for exchange students

Starts

1 November 2024

Ends

19 January 2025

Study location

Umeå

Language

English

Type of studies

Daytime, 50%, Distance

Number of mandatory meetings

1

Number of other meetings

None

Required Knowledge

The course requires 90 ECTS including 22,5 ECTS in Calculus of which 7,5 ECTC in Multivariable Calculus and Differential Equations, a basic course in Linear Algebra minimum 7,5 ECTS and a basic course in Mathematical Statistics minimum 6 ECTS. Proficiency in English and Swedish equivalent to the level required for basic eligibility for higher studies.

Selection

Students applying for courses within a double degree exchange agreement, within the departments own agreements will be given first priority. Then will - in turn - candidates within the departments own agreements, faculty agreements, central exchange agreements and other departmental agreements be selected.

Application code

UMU-A5807

Application

This application round is only intended for nominated exchange students. Information about deadlines can be found in the e-mail instruction that nominated students receive. The application period is closed.

Contact us

Please be aware that the University is a public authority and that what you write here can be included in an official document. Therefore, be careful if you are writing about sensitive or personal matters in this contact form. If you have such an enquiry, please call us instead. All data will be treated in accordance with the General Data Protection Regulation.

Contactperson for the course is:
Study counselor Lars-Daniel Öhman