Topics in Stochastic Calculus

Course content

This course will be concerned with selcted topics in stochastic calculus such as, for example, stochastic integral (Ito's integral) with respct to continuous semimartingales, Ito's formula, The Levy characterization theorem, stochastic differential equations. 


MSc Programme in Actuarial Mathematics

MSc Programme in Statistics

MSc Programme in Mathematics-Economics

Learning outcome


  • Basic knowledge of the topics covered



  • understand the concept of the stochastic integral
  • be able to apply basic facts and theorems of stochastic calculus
  • understand the concept of stochastic differential equations



To make the student operational and to give the student knowledge to pursue further applications where stochastic calculus plays a role.

4 hours of lectures per week for 7 weeks

VidSand 1+2 or equivalent

7,5 ECTS
Type of assessment
Oral examination, 30min
Oral examination
30 minutes oral exam without time for preparation
Only certain aids allowed

The student may bring notes to the oral exam, but they are only allowed to consult these in the first minute after they have drawn a question. After that, all notes must be put away. 

Marking scale
7-point grading scale
Censorship form
No external censorship
Criteria for exam assessment

The student must in a satisfactory way demonstrate thathe/she has mastered the learning outcome of the course

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 177
  • Exam
  • 1
  • English
  • 206