Topic outline

  • General

  • Course Materials

    • 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.
      (revision 1, 30.10.22, corrected a small typo in the last question)
    • 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.