101.868 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2021W, VO, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Online

Learning outcomes

After successful completion of the course, students are able to...

  interpret and do computations with stochastic integrals; - give proof of well-posedness of stochastic differential equations; - analyze and implement basic numerical algorithms for the simulation of solutions.  

Subject of course

Brownian motion. Stochastic calculus. Ito's formula. Existence and uniqueness theory. Girsanov transformation. Euler-Maruyama scheme. Weak and strong rates of convergence.

Teaching methods

Online lectures and exercises (in the companion UE course). In the lecture the theory is introduced and examples will be calculated. Once a week there will be exercise-sheets which will be calculated at by the students in an interactive online session.  

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed14:30 - 17:0006.10.2021 - 26.01.2022Sem.R. DA grün 04 (LIVE)AKANA AKWTH AKNUM Stochastic differential equations and their numerics
AKANA AKWTH AKNUM Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Wed06.10.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed13.10.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed20.10.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed27.10.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed03.11.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed10.11.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed17.11.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed24.11.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed01.12.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed15.12.202114:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed12.01.202214:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed19.01.202214:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics
Wed26.01.202214:30 - 17:00Sem.R. DA grün 04 AKANA AKWTH AKNUM Stochastic differential equations and their numerics

Examination modalities

Oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Not specified
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Previous knowledge

Basic probability theory, Ordinary differential equations

Language

English