Stochastic Calculus

About this programme

No fees are charged for EU and EEA citizens, Swedish residence permit holders and exchange students. 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. An undergraduate course in mathematical statistics or a strong mathematical background. All eligible applicants who have applied before the deadline will be granted a place. 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.