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| Detailinformationen |
| Quellcurriculum |
Masterstudium Industrial Mathematics 2024W |
| Ziele |
(*)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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| Lehrinhalte |
(*)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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| Beurteilungskriterien |
(*)Oral exam
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| Lehrmethoden |
(*)Blackboard presentation
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| Abhaltungssprache |
Englisch |
| Literatur |
(*)- 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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| Lehrinhalte wechselnd? |
Nein |
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