101.869 AKANA 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.

2020W, UE, 1.0h, 1.5EC

Properties

  • Semester hours: 1.0
  • Credits: 1.5
  • Type: UE Exercise
  • 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

Exercises

Mode of examination

Immanent

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon14:15 - 15:0005.10.2020 - 25.01.2021 Zoom - links on TUWEL (LIVE)AKANA Stochastic differential equations and their numerics
AKANA Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Mon05.10.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon12.10.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon19.10.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon09.11.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon16.11.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon23.11.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon30.11.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon07.12.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon14.12.202014:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon11.01.202114:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon18.01.202114:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon25.01.202114:15 - 15:00 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics

Examination modalities

Immanent

Course registration

Not necessary

Curricula

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

Literature

No lecture notes are available.

Language

German