M5MF47/M5MR11 Stochastic Differential Equations (Spring 2017)



Lectures: Monday 3-5, 130 Huxley. Friday 11-12, 140 Huxley

Contact: Dr Thomas Cass by email (in the College directory).

Course notes:

Course notes and problem sheets/solutions will appear below in timing with lectures. The contents of the lectures themselves constitute the course, the notes below are intended to help you with the material covered in lectures.

Stochastic Differential Equations lecture notes

SDEs problems sheet 1

SDEs problems sheet 2

SDEs problems sheet 3

SDEs problems sheet 4

SDEs problems sheet 5

SDEs problems sheet 6

Mock examination

Summary of examinable material

Course books:

The course will mostly closely follow the structure of

Diffusions, Markov Processes, and Martingales: Volume 2

By L. C. G. Rogers, David Williams Cambridge University Press, 2000

An online edition of which is available from the College library.

Lecture notes from the Stochastic Processes course for background reference:

Lectures 1-33 (entire course in one file)

Problems sheet 1 

Solution to 2(c)

Problems sheet 2

Problems sheet 3

Problems sheet 4

Problems sheet 5

Problems sheet 6

Problems sheet 7


Three hour examination; five questions of which the best four will count. Here are the exam papers from 2012-13, 2013-14  2014-15 and 2015-16

Summary of examinable material