| Detailinformationen |
| Quellcurriculum |
Masterstudium Mathematik in den Naturwissenschaften (auslaufend) 2022W |
| Ziele |
(*)Motivation, theory and application of stochastic differential equations.
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| Lehrinhalte |
(*)Basics of stochastic analysis, stochastic differential equations (SDE) in concrete applications, basic solution techniques for SDEs, existence- and uniqueness-theorem for SDEs.
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| Beurteilungskriterien |
(*)Written exam
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| Lehrmethoden |
(*)Blackboard presentation
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| Abhaltungssprache |
English |
| Literatur |
(*)- Bernt Oksendal, Stochastic Differential Equations, Springer Verlag
- Tomas Björk, Arbitrage Theory in Continuous Time, Cambridge University Press
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| Lehrinhalte wechselnd? |
Nein |
| Sonstige Informationen |
(*)Knowledge from probability theory and the theory of stochastic processes is necessary.
Until term 2022S known as: TMAPBVOSTDG VL Stochastic differential equations
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| Frühere Varianten |
Decken ebenfalls die Anforderungen des Curriculums ab (von - bis)
TMAPBVOSTDG: VO Stochastische Differentialgleichungen (2004S-2022S)
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