C8.1 Stochastic Differential Equations (202324)
Topic outline


This year's course will be based on this set of lecture notes by Z. Qian from 202122.


There are 4 problem sheets in total, this is the first one, which is related to the lectures in week 1 and week 2, corresponding to the material in Lecture notes  Section 2.1, 2.2 and 2.3. The sheet comes in two flavours, with and without solutions to Sections A and C.

Sheet 2 is related to the material covered in week 3 and week 4.
The questions are mainly related to the applications of Ito's formula.
The sheet comes in two flavours, with and without solutions to Sections A and C.

This problem sheet is related to the material covered in
lectures in week 5 and week 6, corresponding to Chapter 4,
Lecture Notes. The sheet comes in two flavours, with and without
solutions to Sections A and C.

This set of questions is tailored with the lectures in week 7 and week 8, related to weak solutions of SDEs and local times for continuous semimartingales. The sheet comes in two flavours, with and without
solutions to Sections A and C.
