C8.1 Stochastic Differential Equations (2024-25)

Section outline

• Select section General

  General

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  • Select activity Announcements

    

    Announcements Forum
  • Select activity Reading List

    

    Reading List URL
  • Select activity Discussion Forum

    

    Discussion Forum
  • Select activity Lecture Notes (30 Nov 2021)

    

    Lecture Notes (30 Nov 2021) File

    This year's course will be based on this set of lecture notes by Z. Qian from 2021-22.

  • Select activity Ito's original paper on SDEs (1942)

    

    Ito's original paper on SDEs (1942) File
• Select section Course Materials

  Course Materials

  • Select activity Problem Sheet 1

    

    Problem Sheet 1 Assignment

    Due: Sunday, 10 November 2024, 11:59 PM

    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.
  • Select activity Problem Sheet 2

    

    Problem Sheet 2 Assignment

    Opened: Thursday, 24 October 2024, 2:26 PM

    Due: Friday, 22 November 2024, 11:59 PM

    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.
    
  • Select activity Problem Sheet 3

    

    Problem Sheet 3 Assignment

    Opened: Thursday, 24 October 2024, 8:57 PM

    Due: Friday, 29 November 2024, 11:59 PM

    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.
    
  • Select activity Problem Sheet 4

    

    Problem Sheet 4 Assignment

    Due: Saturday, 13 January 2024, 11:59 PM

    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.
    
• Select section Intercollegiate Classes

  Intercollegiate Classes

  • Select activity Class Signup

    

    Class Signup Class registration

    Registration start: Wednesday, 9 October 2024, 12:00 PM

    Registration end: Friday, 8 November 2024, 12:00 PM
  • Select activity Class Tutor's Comments

    

    Class Tutor's Comments Assignment

    Class tutors will use this activity to provide overall feedback to students at the end of the course.
    

    Not available unless: You have signed up to a class