# 101.869 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, 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.

Exercises

Immanent

## 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

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.

German