Middelfart, Denmark - August,
3^{th}-16^{th}, 2008.

Course material

The lectures on theory of stochastic differential equations given by Bernt Øksendal and Martin Jacobsen will be based on the book:

"Stochastic Differential Equations. An Introduction with Applications" by Bernt Øksendal, published by Springer.

There will not be given any copies of the book, but the lectures can be followed without the book. Moreover, the lectures of Martin Jacobsen will be based on these notes:

One-dimensional homogeneous diffusions.

The lectures of Michael Sørensen and Susanne Ditlevsen will be based on these notes:

Estimating functions for diffusion-type processes.

Slides from lectures:

Bernt Øksendal: Lecture 1, Lecture 2, Lecture 3, On Malliavin calculus.

Martin Jacobsen: Lectures.

Michael Sørensen: Lectures.

Susanne Ditlevsen: Lecture 1, Lecture 2.

Seema Nanda: Lecture 1.

Umberto Picchini: Lectures.

Laura Sacerdote: Lecture 1, Lecture 2, Lecture 3, Lecture 4.

Gilles Wainrib: Lectures.

Material from exercise sessions:

Exercises, including some code.Back to the main page.