101.868 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, VO, 3.0h, 4.5EC
TUWEL

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • 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

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
Mon13:30 - 14:1505.10.2020 - 25.01.2021 Zoom - links on TUWEL (LIVE)Stochastical differential equations and their numerics
Wed09:00 - 10:3007.10.2020 - 27.01.2021 Zoom - links on TUWEL (LIVE)AKANA Stochastic differential equations and their numerics
AKANA Stochastic differential equations and their numerics - Single appointments
DayDateTimeLocationDescription
Mon05.10.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed07.10.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon12.10.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed14.10.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon19.10.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed21.10.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Wed28.10.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Wed04.11.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon09.11.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed11.11.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon16.11.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed18.11.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon23.11.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed25.11.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon30.11.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed02.12.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon07.12.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed09.12.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics
Mon14.12.202013:30 - 14:15 Zoom - links on TUWELStochastical differential equations and their numerics
Wed16.12.202009:00 - 10:30 Zoom - links on TUWELAKANA Stochastic differential equations and their numerics

Examination modalities

Oral exam

Course registration

Not necessary

Curricula

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

Literature

No lecture notes are available.

Previous knowledge

Basic probability theory, Ordinary differential equations

Language

English