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101.869 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, 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
Fri10:00 - 11:0013.10.2023 - 19.01.2024Sem.R. DA grün 06B Exercises
AKANA AKWTH AKNUM Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Fri13.10.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri20.10.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri27.10.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri03.11.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri10.11.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri17.11.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri24.11.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri01.12.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri15.12.202310:00 - 11:00Sem.R. DA grün 06B Exercises
Fri12.01.202410:00 - 11:00Sem.R. DA grün 06B Exercises
Fri19.01.202410:00 - 11:00Sem.R. DA grün 06B Exercises

Examination modalities

Immanent

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.

Language

German