Course data

Lectures: Mon 12-14 and Tue 8-10 (14.3.2011 - 2.5.2011).

Exercises: Mon 10-12 (21.3.2011 - 3.5.2011).

Instructor: Lasse Leskelä

Course data in Korppi:

This course forms a continuation for the course MATS352 Stochastic differential equations 1.


Learning outcomes

After completing the course the participant:


During the course we shall treat Chapters 5 and 7, and selected parts of Chapters 8-11 in the book:


The default language for this course is Finnish, see the Finnish course page for up-to-date information. If you wish to complete the course in English, contact the instructor.


The course is completed by passing a written exam and an assignment. The completion of the assignment is a prerequisite for attending the exam. The course grade is obtained from the formula

  min(max(floor((x+y+z)/3 - 4), 0), 5)
  x = points from the final exam (max 24)
  y = points from the assignment (max 6)
  z = points from the exercises (max 6)
The exercises are not compulsory, but they are warmly recommended.

Course workload

The major part of the workload consists of independent study (solving the exercises, finding out how things work, etc.). Passing the course successfully requires allocating sufficient weekly time for independent study.

Lectures             (6 x 4 h) 24 h
Exercises            (6 x 2 h) 12 h
Independent study    (6 x 8 h) 48 h
Assignment                     12 h
Preparing for the exam          8 h
Exam                            4 h
Total                         108 h
1 cr amounts to 27 h total work -> 4 cr equals 108 h of work.


The participants are expected to master the basics of stochastic differential equations on the level of MATS352 Stokastiset differentiaaliyhtälöt 1