6 points, SCA Band 2, 0.125 EFTSL
Postgraduate - Unit
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
- Second semester 2018 (On-campus)
Elliptic and Parabolic partial differential equations. Sobolev Spaces. Weak and strong solutions. Maximum principle. Comparison principle. Viscosity solutions. Stochastic control theory. The dynamic programing principle. Feynmann-Kac representation formulas.
On completion of this unit students will be able to:
- Develop specialised mathematical knowledge and skills within the field of partial differential equations.
- Understand the complex connections between stochastic analysis and partial differential equations.
- Apply critical thinking to problems in partial differential equations that relate to financial models.
- Apply problem solving skills within the finance context.
- Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of partial differential equations.
- Communicate complex information in an accessible format to a non-mathematical audience.
Examination (3 hours): 60% (Hurdle)
Continuous assessment: 40%
Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.
Four contact hours per week
See also Unit timetable information