Es ist eine neuere Version 2022W dieser LV im Curriculum Bachelor's programme Technical Mathematics 2022W vorhanden.
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
