# 101.868 AKANA AKWTH AKNUM Stochastic differential equations and their numerics This course is in all assigned curricula part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_21",{id:"j_id_21",showEffect:"fade",hideEffect:"fade",target:"isAllSteop"});});This course is in at least 1 assigned curriculum part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_23",{id:"j_id_23",showEffect:"fade",hideEffect:"fade",target:"isAnySteop"});}); 2023W 2021W 2020W

2023W, VO, 3.0h, 4.5EC

## Properties

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

## 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.

Oral

## Course dates

DayTimeDateLocationDescription
Fri10:00 - 13:0006.10.2023Sem.R. DA grün 04 Lecture 1
Fri14:00 - 17:0013.10.2023 - 19.01.2024 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
AKANA AKWTH AKNUM Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Fri06.10.202310:00 - 13:00Sem.R. DA grün 04 Lecture 1
Fri13.10.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri20.10.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri27.10.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri03.11.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri10.11.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri17.11.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri24.11.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri01.12.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri15.12.202314:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri12.01.202414:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser
Fri19.01.202414:00 - 17:00 DA06 G14 Library of E101, 6th fl. green areaProf. Gerencser

Oral exam

## Course registration

Begin End Deregistration end
30.08.2023 20:00 10.10.2023 23:00 17.10.2023 23:00

## 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

English