Course information

Information on course registration, exam application etc. can be found on the Student affairs office website.

Teaching and assessment

The course is assessed is by a set of homework, a project, and a final written exam, all mandatory to pass the course. The homework and projects are carried out by groups of students. Each group hand in a report on each assignment. For graduate students, who wish to take the course SF3581, need to achieve a result corresponding to the grade C on SF2522, in order to pass SF3581.

Homework

Each homework is presented orally (20 min) on the lecture the due date. The written report therefore needs to be handed in no later than at the "deadline" lecture.

Homework 1, due February 8. Note 1: For exercise 2 it is not necessary to use the definition of the stochastic integral as a limit of Forward Euler approximations (as is necessary in exercise 1). It is therefore allowed to use theorems in the literature, e.g. Theorem 2.16 in the lecture notes. Note 2: $x_0$ and $x_\infty$ are constants, not random variables.