 |
| Detailed information |
| Original study plan |
Master's programme Mathematics for Natural Sciences 2012W |
| Objectives |
Motivation, theory and application of stochastic differential equations
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| Subject |
basics of stochastic analysis, stochastic differential equations (SDE) in concrete applications, basic solution techniques for SDE’s, existence- and uniqueness-theorem for SDE’s
|
| Criteria for evaluation |
written examination,
if necessary also oral examination possible
|
| Methods |
Blackboard presentation
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| Language |
German |
| 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
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