[ 403PTMSSDEV22 ] VL Stochastic Differential Equations 2
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| Es ist eine neuere Version 2024W dieser LV im Curriculum Master's programme Computational Mathematics 2024W vorhanden. |
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| Workload |
Education level |
Study areas |
Responsible person |
Hours per week |
Coordinating university |
| 3 ECTS |
M1 - Master's programme 1. year |
Mathematics |
Evelyn Buckwar |
2 hpw |
Johannes Kepler University Linz |
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| 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.
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| 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.
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| Criteria for evaluation |
Oral exam
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| 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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| On-site course |
| Maximum number of participants |
- |
| Assignment procedure |
Direct assignment |
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