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Stochastic Calculus

Master's level | 7.5 credits | Course code: MSA350
Autumn 2020
50% Day
Period: 31 August 2020 - 2 November 2020
2) Only EU/EEA citizens and students with approved residence permit in Sweden can apply

About the Course

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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Course Syllabus


Requirements and Selection

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

Selection: All eligible applicants who have applied before the deadline will be granted a place.

Tuition Fee

Application fee: 900 SEK
Full course cost: 14 875 SEK
First payment: 14 875 SEK

EU/EEA citizens, Swedish residence permit holders and exchange students do not pay fees. More information on:

Study Guidance, tel: 031-772 3505


Department of Mathematical Sciences
41296 Göteborg

Visiting address: Chalmers Tvärgata 3

Phone: 0317721000

Page Manager: Jörgen Ölund
Last update: 2/18/2020 2:41 PM

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Page Manager: Jörgen Ölund|Last update: 10/16/2018

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