C8.1 Stochastic Differential Equations (2024-25)
Section outline
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This year's course will be based on this set of lecture notes by Z. Qian from 2021-22.
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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.
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Opened: Thursday, 24 October 2024, 2:26 PMSheet 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.
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Opened: Thursday, 24 October 2024, 8:57 PMThis 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.
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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.
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Registration start: Wednesday, 9 October 2024, 12:00 PMRegistration end: Friday, 8 November 2024, 12:00 PM
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Class Tutor's Comments Assignment
Class tutors will use this activity to provide overall feedback to students at the end of the course.
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