Overview

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. Feynman-Kac representation formulas.

Offerings

S2-01-CLAYTON-ON-CAMPUS

Requisites

Prerequisite

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Professor Gregoire Loeper

Unit Coordinator(s)

Professor Gregoire Loeper

Notes

IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.

Learning outcomes

On successful completion of this unit, you should be able to:
1.

Develop specialised mathematical knowledge and skills within the field of partial differential equations.

2.

Understand the complex connections between stochastic analysis and partial differential equations.

3.

Apply critical thinking to problems in partial differential equations that relate to financial models.

4.

Apply problem solving skills within the finance context.

5.

Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of partial differential equations.

6.

Communicate complex information in an accessible format to a non-mathematical audience.

Teaching approach

Active learning

Assessment

1 - In-semester assessment
2 - Examination (3 hours and 10 minutes)

Scheduled and non-scheduled teaching activities

Applied sessions
Lectures

Workload requirements

Workload

Other unit costs

Costs are indicative and subject to change.
Miscellaneous Items Required (Printing, Stationery) - $100.