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.

2021W, UE, 1.0h, 1.5EC
TUWEL

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 - 15:0011.10.2021 - 24.01.2022 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
AKANA AKWTH AKNUM Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Mon11.10.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon18.10.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon25.10.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon08.11.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon22.11.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon29.11.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon06.12.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon13.12.202114:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon10.01.202214:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon17.01.202214:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM Stochastic differential equations and their numerics
Mon24.01.202214:15 - 15:00 Zoom - links on TUWELAKANA AKWTH AKNUM 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
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Language

German