[ TMAPBVOSTDG ] VL Stochastic differential equations

Workload Education level Study areas Responsible person Hours per week Coordinating university
3 ECTS M1 - Master's programme 1. year Mathematics Gunther Leobacher 2 hpw Johannes Kepler University Linz
Detailed information
Original study plan Master's programme Mathematics for Natural Sciences 2012W
Objectives Motivation, theory and application of stochastic differential equations
Subject basics of stochastic analysis, stochastic differential equations (SDE) in concrete applications, basic solution techniques for SDE’s, existence- and uniqueness-theorem for SDE’s
Criteria for evaluation written examination, if necessary also oral examination possible
Methods Blackboard presentation
Language German
Study material Bernt Oksendal, Stochastic Differential Equations, Springer Verlag
Tomas Björk, Arbitrage Theory in Continuous Time, Cambridge University Press
Changing subject? No
Further information knowledge from probability theory and the theory of stochastic processes is necessary
On-site course
Maximum number of participants -
Assignment procedure Direct assignment