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.

2023W, VO, 3.0h, 4.5EC
TUWEL

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.  

Mode of examination

Oral

Lecturers

Institute

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

Examination modalities

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

Language

English