 |
| Detailed information |
| Original study plan |
Master's programme Industrial Mathematics 2022W |
| Objectives |
At the end of the course, students will have developed a deepened understanding of stochastic differential equations, including knowledge about the main solution techniques and transformation methods.
|
| Subject |
Solutions and moments of stochastic differential equations, transformation methods for stochastic differential equations (Lamperti transform, change of measure and Girsanov’s theorems, Stratonovich calculus), connection to partial differential equations.
|
| Criteria for evaluation |
Oral exam
|
| Methods |
Blackboard presentation
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| Language |
English |
| Study material |
- Stochastische Differentialgleichungen: Theorie und Anwendungen, L. Arnold
- Stochastic differential equations: An introduction with applications, B. Oksendal
- Stochastic differential equations and applications, X. Mao
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| Changing subject? |
No |
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