Brownian motion and stochastic differential equations HT24

This course is taught in English.

The course treats Brownian motion (the Wiener process), Itô integrals, Itô's formula and stochastic differential equations as well as their properties and relations to partial differential equations. The course also covers optimal stopping theory and the theory of optimal stochastic control, as well as applications. In addition, some basic concepts of measure theoretic probability theory is treated.

Please note that self-enrollment on the course page is not the same as course registration in Ladok.