Inhalt

[ 402STMESDEV22 ] VL Stochastic Differential Equations

Versionsauswahl
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 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

On-site course
Maximum number of participants -
Assignment procedure Direct assignment