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Syllabus:

Stochastic Differential Equations, 7.5 Credits

The course is discontinued

Swedish name: Stokastiska differentialekvationer

This syllabus is valid: 2011-09-12 and until further notice

Course code: 5MA042

Credit points: 7.5

Education level: Second cycle

Main Field of Study and progress level: Mathematics: Second cycle, has only first-cycle course/s as entry requirements
Computational Science and Engineering: Second cycle, has only first-cycle course/s as entry requirements

Grading scale: Three-grade scale

Responsible department: Department of Mathematics and Mathematical Statistics

Required Knowledge

Univ: Courses in Linear Algebra, Statistics for Engineers , Differential Equations and Multivariable Calculus. Proficiency in English equivalent to Swedish upper secondary course English A (IELTS (Academic) with a minimum overall score of 5.5 and no individual score below 5.0. TOEFL PBT (Paper-based Test) with a minimum total score of 530 and a minimum TWE score of 4. TOEFL iBT (Internet-based Test) with a minimum total score of 72 and a minimum score of 17 on the Writing Section). Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.

Literature

Valid from: 2012 week 36

Numerical solution of stochastic differential equations
Kloeden Peter E., Platen Eckhard
Berlin : Springer-Vlg : cop. 1992 : xxii, 632 s. :
ISBN: 3-540-54062-8 (Berlin)
Mandatory
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