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Mathematical signs and patterns
Photo: /Konstnär: Per Petersson
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Stochastic Calculus

Course
MSA350
Master’s level
7,5 credits (ECTS)

About

Calculus, including integration, differentiation, and differential equations are insufficient to model stochastic phenomena like noise disturbances of signals in engineering, uncertainty about future stock prices in finance, and microscopic particle movement in natural sciences. This course gives a solid basic knowledge of stochastic analysis and stochastic differential equations. Brownian motion calculus. Elements of Levy processes and martingales. Stochastic integrals.

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more information

Prerequisites and selection

Requirements

An undergraduate course in mathematical statistics or a strong mathematical background.

Facilities

Mathematical
Sciences is a joint department of Chalmers/University of Gothenburg. Your
education takes place in the spacious and bright premises of Mathematical
Sciences at the Chalmers campus Johanneberg, where there are lecture halls,
computer rooms and group rooms. Here you can also find student lunch room and
reading room, as well as student counsellors and student office.

Maps for
Campus Johanneberg