MA50251: Applied SDEs: SAMBa/TCC Graduate Course 2017/18
In the first half of the course, some examples will be given using iPython. The notebooks (and a complete .pdf) are made available below. To get started with iPython, download the software from here: iPython. A dictionary for Matlab users can be found here.
This graduate course will look at Stochastic Differential Equations from an Applied perspective. In particular, we will not assume a deep probabilistic background, and the emphasis will tend to be on the applications, although hopefully there will also be something to interest students with a more classical probability background.
The course will roughly break into two parts: after some motivation and discussion of introductory problems, we will review much of the background theory: in particular, we will provide an overview of stochastic integration in a Brownian filtration, and some SDE theory and key results, following the presentation in Øksendal's book.
Problem sheets will be set weekly, and (for those students who need to be assessed), there will be coursework (25%) and a final exam (75%).
The course is timetabled at 9:15-11.05 on Monday in 4W 1.7. A full timetable of planned lectures is here, see also content below.
Maintainer: Alex Cox