| Detailed information |
| Original study plan |
Master's programme Mathematics for Natural Sciences (discontinuing at 28/2/2026) 2022W |
| 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 SDEs, existence- and uniqueness-theorem for SDEs.
|
| Criteria for evaluation |
Written exam
|
| Methods |
Blackboard presentation
|
| Language |
English and French |
| 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.
Until term 2022S known as: TMAPBVOSTDG VL Stochastic differential equations
|
| Earlier variants |
They also cover the requirements of the curriculum (from - to)
TMAPBVOSTDG: VO Stochastic differential equations (2004S-2022S)
|
