| Detailed information |
| Original study plan |
Master's programme Computational Mathematics 2023W |
| 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 |
| 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.
|
| Corresponding lecture |
402STMESDEV22: VL Stochastic Differential Equations (3 ECTS) + 201MASEPTMS22: SE Probability theory and mathematical statistics (1.5 ECTS)
|
| Is completed if |
402STMESDEV22: VO Stochastic Differential Equations (3 ECTS) + 403PTMSSDEV22: VL Stochastic Differential Equations 2 (3 ECTS)
|
